We discuss the prediction accuracy of assumed statistical models in terms of prediction errors for the generalized linear model and penalized maximum likelihood methods. We derive the forms of estimators for the prediction errors, such as $C_p$ criterion, information criteria, and leave-one-out cross validation (LOOCV) error, using the generalized approximate message passing (GAMP) algorithm and replica method. These estimators coincide with each other when the number of model parameters is sufficiently small; however, there is a discrepancy between them in particular in the parameter region where the number of model parameters is larger than the data dimension. In this paper, we review the prediction errors and corresponding estimators, and discuss their differences. In the framework of GAMP, we show that the information criteria can be expressed by using the variance of the estimates. Further, we demonstrate how to approach LOOCV error from the information criteria by utilizing the expression provided by GAMP.

In the regression setting, given a set of hyper-parameters, a model-estimation procedure constructs a model from training data. The optimal hyper-parameters that minimize generalization error of the model are usually unknown. In practice they are often estimated using split-sample validation. Up to now, there is an open question regarding how the generalization error of the selected model grows with the number of hyper-parameters to be estimated. To answer this question, we establish finite-sample oracle inequalities for selection based on a single training/test split and based on cross-validation. We show that if the model-estimation procedures are smoothly parameterized by the hyper-parameters, the error incurred from tuning hyper-parameters shrinks at nearly a parametric rate. Hence for semi- and non-parametric model-estimation procedures with a fixed number of hyper-parameters, this additional error is negligible. For parametric model-estimation procedures, adding a hyper-parameter is roughly equivalent to adding a parameter to the model itself. In addition, we specialize these ideas for penalized regression problems with multiple penalty parameters. We establish that the fitted models are Lipschitz in the penalty parameters and thus our oracle inequalities apply. This result encourages development of regularization methods with many penalty parameters.