Chapter 7Risk Estimation and Model Selection
The very fact that the representation is of such generality that it can always be made to fit the data exactly is considered an argument against it, not for it.
— Harold Jeffreys, Scientific Inference, 1931
Aesthetics and statistical accuracy might not be the same thing.
— Larry Wasserman, personal communication, 2001
It is a myth that there is necessarily a trade-off between accuracy and interpretability.
— Cynthia Rudin, Stop Explaining Black Box Machine Learning Models for High Stakes Decisions and Use Interpretable Models Instead, 2019
Estimating risk turns out to be very difficult.
— Anthony Gamst, personal communication, 2019
In Chapter 2, we stated our goal to be finding an approximation
of
with minimal risk
, the expected loss incurred when predicting values of response or class
for new features
,

In general, there is no way ...
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