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

Maxime Cauchois, Alnur Ali, John Duchi

Abstract: 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.