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arXiv · 0907.4728

A survey of cross-validation procedures for model selection

Sylvain Arlot·Alain Celisse
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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 the 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. 2009-07-27. A survey of cross-validation procedures for model selection. https://doi.org/10.1214/09-ss054

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