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The One Standard Error Rule for Model Selection: Does It Work?
Yuchen Chen
, Yuhong Yang
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Keyphrases
Model Selection
100%
Least Absolute Shrinkage and Selection Operator (LASSO)
100%
Cross-validation Errors
100%
Regression Estimation
100%
Popular
50%
Relative Performance
50%
Numerical Results
50%
Prediction Error
50%
Estimation Accuracy
50%
Regularization Parameter
50%
Regularization Method
50%
Large Sample Size
50%
Estimation Bias
50%
Boston
50%
Performance Estimation
50%
Parsimonious Models
50%
House Prices
50%
Regression Estimator
50%
Regression Function
50%
Sparse Parameters
50%
Estimation Formula
50%
Regression Prediction
50%
High-dimensional Regression
50%
Guided Simulation
50%
Standard Error Estimation
50%
Large p Small n
50%
Mathematics
Model Selection
100%
Cross-Validation
100%
Regularization
40%
Regression Estimation
40%
Real Data
20%
Standard Deviation
20%
Prediction Error
20%
Regression Function
20%
Regression Estimator
20%
Standard Error Estimation
20%
Economics, Econometrics and Finance
Measure of Dispersion
100%