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most citedRobust Validation: Confident Predictions Even When Distributions Shift

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math.ST2021

A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?"

Maxime Cauchois, Alnur Ali, John Duchi

We identify and correct an error in the paper "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" This correction allows new guarantees on the excess…