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…