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stat.ML2020
Approximate Cross-validation: Guarantees for Model Assessment and Selection
Ashia Wilson, Maximilian Kasy, Lester Mackey
Cross-validation (CV) is a popular approach for assessing and selecting predictive models. However, when the number of folds is large, CV suffers from a need to repeatedly refit a…
stat.ML2017★ 5 cited
The Risk of Machine Learning
Alberto Abadie, Maximilian Kasy
Many applied settings in empirical economics involve simultaneous estimation of a large number of parameters. In particular, applied economists are often interested in estimating t…