<div dir="ltr">Seminário de hoje do Robert Tibshirani: <a href="https://youtu.be/ZP3WLxzaf_g">https://youtu.be/ZP3WLxzaf_g</a><br></div><br><div class="gmail_quote"><div dir="ltr" class="gmail_attr">On Mon, May 10, 2021 at 1:19 PM Marco Inácio <<a href="mailto:m@marcoinacio.com">m@marcoinacio.com</a>> wrote:<br></div><blockquote class="gmail_quote" style="margin:0px 0px 0px 0.8ex;border-left:1px solid rgb(204,204,204);padding-left:1ex">
<div>
<p>Bom dia, Hedibert, gostaria de perguntar se a gravação do
seminário estará disponivel em algum repositorio.<br>
</p>
<div>On 05/05/2021 21:48, Rafael Izbicki
wrote:<br>
</div>
<blockquote type="cite">
<div dir="auto"><br>
<br>
<div>Rafael<br>
<br>
<br>
--<br>
Rafael Izbicki<br>
Assistant Professor<br>
Department of Statistics<br>
Federal University of São Carlos (UFSCar)<br>
<a href="http://www.rizbicki.ufscar.br/" target="_blank">www.rizbicki.ufscar.br/</a><br>
<a href="http://www.small.ufscar.br/" target="_blank">www.small.ufscar.br/</a></div>
</div>
<br>
<div class="gmail_quote">
<div dir="ltr" class="gmail_attr">---------- Forwarded message
---------<br>
De: <strong class="gmail_sendername" dir="auto">Hedibert
Lopes</strong> <span dir="auto"><<a href="mailto:hedibert@gmail.com" target="_blank">hedibert@gmail.com</a>></span><br>
Date: sex., 16 de abr. de 2021 13:39<br>
Subject: [ABE-L] Seminário de Estatística, Ciencia de Dados e
Decisao - Robert Tibshirani<br>
To: abe-l <<a href="mailto:abe-l@ime.usp.br" target="_blank">abe-l@ime.usp.br</a>><br>
</div>
<br>
<br>
<div dir="ltr"><br>
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<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><b><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:18pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(192,0,38)" lang="EN-US">Data Science</span></b><span></span></p>
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<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif;text-align:center" align="center"><span> </span></p>
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<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><br>
<span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:inherit;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(192,0,38)">Academic
Seminar</span><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:inherit;font-family:inherit;vertical-align:baseline;color:inherit"></span></p>
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<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:12pt;line-height:inherit;font-family:inherit;vertical-align:baseline;color:rgb(31,73,125)" lang="EN-US"> </span></p>
<p style="margin:0cm 0cm 0.0001pt"><b><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:13pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit" lang="EN-US">Cross-validation: what does it
estimate and how well does it do it?</span></b></p>
<p style="margin:0cm 0cm 0.0001pt"><b><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:13pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit" lang="EN-US"> </span></b></p>
<p style="margin:0cm 0cm 0.0001pt"><strong><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:10pt;line-height:inherit;font-family:Calibri,sans-serif;vertical-align:baseline;color:inherit"> </span></strong></p>
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<p><strong><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)" lang="EN-US">Speaker:</span></strong><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)" lang="EN-US"> </span><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193);text-decoration-line:underline"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit" lang="EN-US"> <a href="https://statweb.stanford.edu/~tibs/" rel="noopener noreferrer noreferrer" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193)" target="_blank">Robert
Tibshirani</a></span></span><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)" lang="EN-US"><br>
<strong><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:inherit;line-height:inherit;vertical-align:baseline;color:inherit">University:</span></strong></span><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193);text-decoration-line:underline"><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:inherit" lang="EN-US"> </span></span><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193);text-decoration-line:underline"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit" lang="EN-US"><a href="https://www.stanford.edu/" rel="noopener noreferrer noreferrer" style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193)" target="_blank">Stanford
Universty</a></span></span><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(5,99,193);text-decoration-line:underline"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit" lang="EN-US"></span></span></p>
<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif;text-align:justify"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)" lang="EN-US">Cross-validation is a widely-used
technique to estimate prediction error, but its
behavior is complex and not fully understood.
Ideally, one would like to think that
cross-validation estimates the prediction</span><span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:rgb(51,51,51)"></span></p>
<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif;text-align:justify"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:11.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:rgb(51,51,51)" lang="EN-US">error for the model at hand, fit to
the training data. We prove that this is not the
case for the linear model fit by ordinary least
squares; rather it estimates the average
prediction error of models fit on other unseen
training sets drawn from the same population. We
further show that this phenomenon occurs for most
popular estimates of prediction error, including
data splitting, bootstrapping, and Mallow’s Cp.
Next, the standard confidence intervals for
prediction error derived from cross-validation may
have coverage far below the desired level. Because
each data point is used for both training and
testing, there are correlations among the measured
accuracies for each fold, and so the usual
estimate of variance is too small. We introduce a
nested cross-validation scheme to estimate this
variance more accurately, and show empirically
that this modification leads to intervals with
approximately correct coverage in many examples
where traditional cross-validation intervals fail.
Lastly, our analysis also shows that when
producing confidence intervals for prediction
accuracy with simple data splitting, one should
not re-fit the model on the combined data, since
this invalidates the confidence intervals.</span></p>
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<p style="margin:0cm 0cm 0.0001pt;font-size:11pt;font-family:Calibri,sans-serif"><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:10.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit">May/10<span style="margin:0px;padding:0px;border:0px;font:inherit;vertical-align:baseline;color:black">/2021</span></span></p>
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Sao Paulo, Brazil (UTC/GMT -03:00)</span></span></strong><b><span style="margin:0px;padding:0px;border:0px;font-style:inherit;font-variant:inherit;font-weight:inherit;font-stretch:inherit;font-size:10.5pt;line-height:inherit;font-family:Verdana,sans-serif;vertical-align:baseline;color:inherit"></span></b></p>
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-- <br>
<div dir="ltr">
<div dir="ltr"><span>Hedibert
Freitas Lopes, PhD</span><br>
<span>Professor of
Statistics and Econometrics</span><br>
<span>INSPER -
Institute of Education and Research</span><br>
<span>Rua Quatá, 300
- São Paulo, SP 04546-042 Brazil</span><br>
<span>Phone: +55 11
4504-2343</span><br>
<span><a href="http://www.hedibert.org" rel="noreferrer" target="_blank">www.hedibert.org</a></span><br>
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</blockquote></div><br clear="all"><div><br></div>-- <br><div dir="ltr" class="gmail_signature"><div dir="ltr"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Hedibert Freitas Lopes, PhD</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Professor of Statistics and Econometrics</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">INSPER - Institute of Education and Research</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Rua Quatá, 300 - São Paulo, SP 04546-042 Brazil</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small">Phone: +55 11 4504-2343</span><br style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><span style="color:rgb(0,0,0);font-family:Calibri,Arial,Helvetica,sans-serif,"Apple Color Emoji","Segoe UI Emoji",NotoColorEmoji,"Segoe UI Symbol","Android Emoji",EmojiSymbols;font-size:small"><a href="http://www.hedibert.org" target="_blank">www.hedibert.org</a></span><br></div></div>