A comment and erratum on "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?"

12/29/2021

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by   Maxime Cauchois, et al.

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We identify and correct an error in the paper "Excess Optimism: How Biased is the Apparent Error of an Estimator Tuned by SURE?" This correction allows new guarantees on the excess degrees of freedom–the bias in the error estimate of Stein's unbiased risk estimate (SURE) for an estimator tuned by directly minimizing the SURE criterion–for arbitrary SURE-tuned linear estimators. Oracle inequalities follow as a consequence of these results for such estimators.