Monte Carlo estimation of minimax regret with an application to MDL model selection.
Teemu RoosPublished in: ITW (2008)
Keyphrases
- model selection
- monte carlo
- minimax regret
- parameter estimation
- cross validation
- sample size
- hyperparameters
- machine learning
- markov chain
- generalization error
- particle filter
- statistical inference
- utility function
- feature selection
- gaussian process
- information criterion
- variable selection
- text categorization
- maximum likelihood
- decision trees
- learning algorithm