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      A K-fold averaging cross-validation procedure

      Jung, Yoonsuh; Hu, Jianhua
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      Jung & Hu 2014.pdf
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      DOI
       10.1080/10485252.2015.1010532
      Link
       www.tandfonline.com
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      Jung, Y., & Hu, J. (2015). A K-fold averaging cross-validation procedure. Journal of Nonparametric Statistics. http://doi.org/10.1080/10485252.2015.1010532
      Permanent Research Commons link: https://hdl.handle.net/10289/9232
      Abstract
      Cross-validation (CV) type of methods have been widely used to facilitate model estimation and variable selection. In this work, we suggest a new K-fold CV procedure to select a candidate ‘optimal’ model from each hold-out fold and average the K candidate ‘optimal’ models to obtain the ultimate model. Due to the averaging effect, the variance of the proposed estimates can be significantly reduced. This new procedure results in more stable and efficient parameter estimation than the classical K-fold CV procedure. In addition, we show the asymptotic equivalence between the proposed and classical CV procedures in the linear regression setting. We also demonstrate the broad applicability of the proposed procedure via two examples of parameter sparsity regularisation and quantile smoothing splines modelling. We illustrate the promise of the proposed method through simulations and a real data example.
      Date
      2015-02-26
      Type
      Journal Article
      Publisher
      Taylor and Francis
      Rights
      © 2015 Taylor & Francis
      Collections
      • Computing and Mathematical Sciences Papers [1455]
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