Questions tagged [oracle]

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What is the oracle property of an estimator?

What is the oracle property of an estimator? What modelling goals is the oracle property relevant for (predictive, explanatory, ...)? Both theoretically rigorous and (especially) intuitive ...
• 66.6k
24k views

LASSO and adaptive LASSO are two different things, right? (To me, the penalties look different, but I'm just checking whether I miss something.) When you generally speak about elastic net, is the ...
4k views

Oracle Inequality : In basic terms

I'm going through a paper that uses oracle inequality to prove something but I'm unable to understand what it is even trying to do. When I searched online about 'Oracle Inequality', some sources ...
• 171
792 views

Is lasso always outperformed by adaptive lasso?

I have been reading some papers and I understood that adaptive lasso has the Oracle properties which lasso lacks. Does that mean adaptive lasso always better than lasso (let's focus on the simple ...
• 81
350 views

Parameter estimation and model selection consistencies

In a highly cited paper by Zhao (2006) it is stated that (Section 2) An estimate which is consistent in terms of parameter estimation does not necessarily consistently selects the correct model (or ...
• 1,159
71 views

How could an oracle that knows the true distribution of things would still incur some errors?

The ideal model is an oracle that simply knows the true probability distribution that generates the data. Even such a model will still incur some error on many problems, because there may still be ...
179 views

Word for the compliment of an ablation study: replacing estimated feature with perfect information

I need a word. We have ablation testing (or an ablation study, or ablation analysis) to quantify what happens if you remove a feature / component from a ML system. So one removes that feature/...
163 views

Why does it matter if we use an oracle estimator?

I read this question while studying adaptive LASSO, and while I think I have a decent understanding of the oracle property in theory, I am confused about what it means to use an oracle vs. non-oracle ...
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47 views

What is the relation between coefficients selected by an Oracle-procedure and significant coefficients?

As proved by Zou (2006), the adaptive LASSO enjoys the Oracle Property in the sense that it does variable selection as if it knew the true (sparse) model. However, in the early days, the standard ...
• 115
1k views

Lasso variable selection consistency: "irrepresentable condition" explained in a non-technical way?

I am currently using the lasso for variable selection. Based on random subsamples of my data, the selections differ a lot, i.e. the selection consistency is bad. Literature such as Meinshausen & ...
• 1,218
1 vote
295 views

Why are oracle inequalities called that way?

The oracle property is an asymptotic property of an estimator, and is about variable selection: An estimator $\hat \beta_n$ satisfies the oracle property if in the limit of $n\to \infty$, the ...
• 2,799
1 vote