1. Discussion of the Paper "Prediction, Estimation, and Attribution" by B. Efron.
- Author
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Candès, Emmanuel and Sabatti, Chiara
- Subjects
- *
FORECASTING , *MATHEMATICAL statistics , *INFORMATION storage & retrieval systems , *HIDDEN Markov models - Abstract
We enjoyed reading Professor Efron's (Brad) paper just as much as we enjoyed listening to his June 2019 lecture in Leiden. Interestingly, Efron puts the pure predictive algorithms to the test in a scenario where the sample size is extremely moderate by today's standards ( I n i = 102). In the knockoff framework, one can use I any i black-box (any predictive model) to identify any kind possible association - linear or not - between a large set of explanatory variables HT ht and an outcome I Y i . This framework rigorously tests whether the conditional distribution HT ht actually depends on any of the variables I X SB j sb i without assuming any model for how I X i and I Y i are connected (Candès et al. 2018). [Extracted from the article]
- Published
- 2020
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