Estimating the Maximum Expected Value: An Analysis of (Nested) Cross Validation and the Maximum Sample Average

We investigate the accuracy of the two most common estimators for the maximum expected value of a general set of random variables: a generalization of the maximum sample average, and cross validation. No unbiased estimator exists and we show that it is non-trivial to select a good estimator without knowledge about the distributions of the random variables. We investigate and bound the bias and variance of the aforementioned estimators and prove consistency. The variance of cross validation can be significantly reduced, but not without risking a large bias. The bias and variance of different variants of cross validation are shown to be very problem-dependent, and a wrong choice can lead to very inaccurate estimates

Pitfalls and Remedies for Cross Validation with Multi-trait Genomic Prediction Methods.

Incorporating measurements on correlated traits into genomic prediction models can increase prediction accuracy and selection gain. However, multi-trait genomic prediction models are complex and prone to overfitting which may result in a loss of prediction accuracy relative to single-trait genomic prediction. Cross-validation is considered the gold standard method for selecting and tuning models for genomic prediction in both plant and animal breeding. When used appropriately, cross-validation gives an accurate estimate of the prediction accuracy of a genomic prediction model, and can effectively choose among disparate models based on their expected performance in real data. However, we show that a naive cross-validation strategy applied to the multi-trait prediction problem can be severely biased and lead to sub-optimal choices between single and multi-trait models when secondary traits are used to aid in the prediction of focal traits and these secondary traits are measured on the individuals to be tested. We use simulations to demonstrate the extent of the problem and propose three partial solutions: 1) a parametric solution from selection index theory, 2) a semi-parametric method for correcting the cross-validation estimates of prediction accuracy, and 3) a fully non-parametric method which we call CV2*: validating model predictions against focal trait measurements from genetically related individuals. The current excitement over high-throughput phenotyping suggests that more comprehensive phenotype measurements will be useful for accelerating breeding programs. Using an appropriate cross-validation strategy should more reliably determine if and when combining information across multiple traits is useful

On Regularization Parameter Estimation under Covariate Shift

This paper identifies a problem with the usual procedure for L2-regularization parameter estimation in a domain adaptation setting. In such a setting, there are differences between the distributions generating the training data (source domain) and the test data (target domain). The usual cross-validation procedure requires validation data, which can not be obtained from the unlabeled target data. The problem is that if one decides to use source validation data, the regularization parameter is underestimated. One possible solution is to scale the source validation data through importance weighting, but we show that this correction is not sufficient. We conclude the paper with an empirical analysis of the effect of several importance weight estimators on the estimation of the regularization parameter.Comment: 6 pages, 2 figures, 2 tables. Accepted to ICPR 201

Sequential Data-Adaptive Bandwidth Selection by Cross-Validation for Nonparametric Prediction

We consider the problem of bandwidth selection by cross-validation from a sequential point of view in a nonparametric regression model. Having in mind that in applications one often aims at estimation, prediction and change detection simultaneously, we investigate that approach for sequential kernel smoothers in order to base these tasks on a single statistic. We provide uniform weak laws of large numbers and weak consistency results for the cross-validated bandwidth. Extensions to weakly dependent error terms are discussed as well. The errors may be {\alpha}-mixing or L2-near epoch dependent, which guarantees that the uniform convergence of the cross validation sum and the consistency of the cross-validated bandwidth hold true for a large class of time series. The method is illustrated by analyzing photovoltaic data.Comment: 26 page

A comparative evaluation of nonlinear dynamics methods for time series prediction

A key problem in time series prediction using autoregressive models is to fix the model order, namely the number of past samples required to model the time series adequately. The estimation of the model order using cross-validation may be a long process. In this paper, we investigate alternative methods to cross-validation, based on nonlinear dynamics methods, namely Grassberger-Procaccia, K,gl, Levina-Bickel and False Nearest Neighbors algorithms. The experiments have been performed in two different ways. In the first case, the model order has been used to carry out the prediction, performed by a SVM for regression on three real data time series showing that nonlinear dynamics methods have performances very close to the cross-validation ones. In the second case, we have tested the accuracy of nonlinear dynamics methods in predicting the known model order of synthetic time series. In this case, most of the methods have yielded a correct estimate and when the estimate was not correct, the value was very close to the real one