Lecture13 - Model Assessment and Selection II

• Lecture 13 Slides

Goals

• More on cross-validation

• Cross-validation for a structured problem (time series, spatial data) ?

• Brief discussion on cross-validation alternatives

Required reading

• Cross-Validation: ISL 5.1

• Chapter 7.10 in ESL

• Chapter 3.3.4 in ESL for “one standard error rule”

Only if you are interested in the recent research on cross-validation

• A survey of cross-validation procedures for model selection, by Sylvain Arlot, Alain Celisse

• How people derive the exact choice of number of folds in cross-validation:

  • Choice of V for V-Fold Cross-Validation in Least-Squares Density Estimation, Arlot and Lerasle

  • Asymptotics of Cross-Validation, Austern and Zhou