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math.ST2023
Inconsistency of cross-validation for structure learning in Gaussian graphical models
Zhao Lyu, Wai Ming Tai, Mladen Kolar +1
Despite numerous years of research into the merits and trade-offs of various model selection criteria, obtaining robust results that elucidate the behavior of cross-validation rema…
math.ST2023
KL-BSS: Rethinking optimality for neighbourhood selection in structural equation models
Ming Gao, Wai Ming Tai, Bryon Aragam
We introduce a new method for neighbourhood selection in linear structural equation models that improves over classical methods such as best subset selection (BSS) and the Lasso. O…