A survey of cross-validation procedures for model selection (original) (raw)

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2010 A survey of cross-validation procedures for model selection

Sylvain Arlot,Alain Celisse

Statist. Surv. 4: 40-79 (2010). DOI: 10.1214/09-SS054

Abstract

Used to estimate the risk of an estimator or to perform model selection, cross-validation is a widespread strategy because of its simplicity and its (apparent) universality. Many results exist on model selection performances of cross-validation procedures. This survey intends to relate these results to the most recent advances of model selection theory, with a particular emphasis on distinguishing empirical statements from rigorous theoretical results. As a conclusion, guidelines are provided for choosing the best cross-validation procedure according to the particular features of the problem in hand.

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Sylvain Arlot. Alain Celisse. "A survey of cross-validation procedures for model selection." Statist. Surv. 4 40 - 79, 2010. https://doi.org/10.1214/09-SS054

Information

Published: 2010

First available in Project Euclid: 9 March 2010

Digital Object Identifier: 10.1214/09-SS054

Subjects:

Primary: 62G08

Secondary: 62G05, 62G09

Keywords: cross-validation, leave-one-out, Model selection

Rights: Copyright © 2010 The author, under a Creative Commons Attribution License

Vol.4 • 2010