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基于数据扰动的自适应建模程序选择AI 解读

Many procedures have been developed to deal with the high-dimensional problem that is emerging in various business and economics areas. To evaluate and compare these procedures, modeling uncertainty caused by model selection and parameter estimation has to be assessed and integrated into a modeling process. To do this, a data perturbation method estimates the modeling uncertainty inherited in a selection process by perturbing the data. Critical to data perturbation is the…

用交叉验证选择模型选择程序AI 解读

While there are various model selection methods, an unanswered but important question is how to select one of them for data at hand. The difficulty is due to that the targeted behaviors of the model selection procedures depend heavily on uncheckable or difficult-to-check assumptions on the data generating process. Fortunately, cross-validation (CV) provides a general tool to solve this problem. In this work, results are provided on how to apply CV to consistently choose the…