Overfitting, generalization, and MSE in class probability estimation with high‐dimensional data

DOI10.1002/bimj.201300083zbMath1441.62399OpenAlexW1755363965WikidataQ30715251 ScholiaQ30715251MaRDI QIDQ5416417

Kyung In Kim, Richard M. Simon

Publication date: 20 May 2014

Published in: Biometrical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/bimj.201300083

zbMATH Keywords

mean square errorhigh-dimensional dataoverfittingcovariance penaltyclass probability estimation

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (2)

Identifiability and bias reduction in the skew-probit model for a binary response ⋮ Class probability estimation for medical studies

Uses Software

• R
• glmnet
• boost

Cites Work

• Statistics for high-dimensional data. Methods, theory and applications.
• Classification of gene microarrays by penalized logistic regression
• The Estimation of Prediction Error
• Random forests

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