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Lecture
Risk Estimation: Mallows' CL and Cp
Description
This lecture covers the concept of optimism in risk estimation, introducing the fixed design setting and deriving the form of optimism for the quadratic risk, which defines the effective degrees of freedom. Linear estimators like linear regression and ridge are discussed, with a focus on Mallows' CL and Cp. The lecture concludes with practical insights on using CL and Cp in practice.
Official source
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