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Cross-Validation for Correlated Data

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Version 2 2020-09-14, 14:50
Version 1 2020-08-24, 09:14
journal contribution
posted on 2020-09-14, 14:50 authored by Assaf Rabinowicz, Saharon Rosset

Abstract–K-fold cross-validation (CV) with squared error loss is widely used for evaluating predictive models, especially when strong distributional assumptions cannot be taken. However, CV with squared error loss is not free from distributional assumptions, in particular in cases involving non-iid data. This article analyzes CV for correlated data. We present a criterion for suitability of standard CV in presence of correlations. When this criterion does not hold, we introduce a bias corrected CV estimator which we termCVc,that yields an unbiased estimate of prediction error in many settings where standard CV is invalid. We also demonstrate our results numerically, and find that introducing our correction substantially improves both, model evaluation and model selection in simulations and real data studies. Supplementary materials for this article are available online.


This research was partially supported by Israeli Science Foundation grant 1804/16.