The Model Selection Curse

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Date

5 octobre 2018

Type de document
Périmètre
Identifiant
  • 1810.02888
Collection

arXiv

Organisation

Cornell University



Sujets proches En

Pattern Model

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Kfir Eliaz et al., « The Model Selection Curse », arXiv - économie


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A "statistician" takes an action on behalf of an agent, based on the agent's self-reported personal data and a sample involving other people. The action that he takes is an estimated function of the agent's report. The estimation procedure involves model selection. We ask the following question: Is truth-telling optimal for the agent given the statistician's procedure? We analyze this question in the context of a simple example that highlights the role of model selection. We suggest that our simple exercise may have implications for the broader issue of human interaction with "machine learning" algorithms.

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