Note on cross-validation_中国竞猜网_中国足彩网-足球推荐

mhjensen
2020-09-23T07:42:20.114Z
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www.uio.no

Good morning everybody,

here's a small note on cross-validation (CV) and project 1. We discussed this during the lecture on Thursday September 17.

What we try to summarize here is a possible approach to the CV tasks in project 1.

1) It is sufficient to perform what many call the standard CV approach in order to obtain the estimated MSE test error (on the test data).

This means, with say five folds, to split your data in five folds and perform training on four of the folds and test on one. This is repeated for all possible distributions of your test data (5 here). The final MSE is then given by the average of these five contributions.

This is what is often done. And it would be sufficient in project 1.

Many people have however criticized this approach, see for example ...