239 citations · 276 across the 3 of their papers we have counts for
3 papers
stat.ME2008★ 33 cited
Evaluation and selection of models for out-of-sample prediction when the sample size is small relative to the complexity of the data-generating process
Hannes Leeb
In regression with random design, we study the problem of selecting a model that performs well for out-of-sample prediction. We do not assume that any of the candidate models under…
math.ST2007★ 4 cited
Can One Estimate The Unconditional Distribution of Post-Model-Selection Estimators?
Hannes Leeb, Benedikt M. Poetscher
We consider the problem of estimating the unconditional distribution of a post-model-selection estimator. The notion of a post-model-selection estimator here refers to the combined…
math.ST2007★ 239 cited
Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
Hannes Leeb, Benedikt M. Poetscher
We point out some pitfalls related to the concept of an oracle property as used in Fan and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges'…