We introduce the jackknife+, a novel method for constructing predictive confidence intervals that is robust to the distribution of the data. The jackknife+ modifies the well-known jackknife (leave-one-out cross-validation) to account for the variability in the fitted regression function when we subsample the training data. Assuming exchangeable ...
Barber, Rina (University of Chicago)
University of Minnesota, Institute for Mathematics and its Applications.