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math.ST2024
ROTI-GCV: Generalized Cross-Validation for right-ROTationally Invariant Data
Kevin Luo, Yufan Li, Pragya Sur
Two key tasks in high-dimensional regularized regression are tuning the regularization strength for accurate predictions and estimating the out-of-sample risk. It is known that the…
stat.ML2024
Predictive Inference in Multi-environment Scenarios
John C. Duchi, Suyash Gupta, Kuanhao Jiang +1
We address the challenge of constructing valid confidence intervals and sets in problems of prediction across multiple environments. We investigate two types of coverage suitable f…