A bias correction for the minimum error rate in cross-validation

Details A bias correction for the minimum error rate in cross-validation A bias correction for the minimum error rate in cross-validation

2009-08-20

arxiv.org/abs/0908.2904v1

Annals of Applied Statistics 2009, Vol. 3, No. 2, 822-829

Statistics

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Published in at http://dx.doi.org/10.1214/08-AOAS224 the Annals of Applied Statistics (http://www.imstat.org/aoas/) by the Ins

Scientific paper

10.1214/08-AOAS224

Tuning parameters in supervised learning problems are often estimated by cross-validation. The minimum value of the cross-validation error can be biased downward as an estimate of the test error at that same value of the tuning parameter. We propose a simple method for the estimation of this bias that uses information from the cross-validation process. As a result, it requires essentially no additional computation. We apply our bias estimate to a number of popular classifiers in various settings, and examine its performance.

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