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arXiv · 2206.03825

Estimation of Predictive Performance in High-Dimensional Data Settings using Learning Curves

Jeroen M. Goedhart·Thomas Klausch·Mark A. van de Wiel
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Abstract

In high-dimensional prediction settings, it remains challenging to reliably estimate the test performance. To address this challenge, a novel performance estimation framework is presented. This framework, called Learn2Evaluate, is based on learning curves by fitting a smooth monotone curve depicting test performance as a function of the sample size. Learn2Evaluate has several advantages compared to commonly applied performance estimation methodologies. Firstly, a learning curve offers a graphical overview of a learner. This overview assists in assessing the potential benefit of adding training samples and it provides a more complete comparison between learners than performance estimates at a fixed subsample size. Secondly, a learning curve facilitates in estimating the performance at the total sample size rather than a subsample size. Thirdly, Learn2Evaluate allows the computation of a theoretically justified and useful lower confidence bound. Furthermore, this bound may be tightened by performing a bias correction. The benefits of Learn2Evaluate are illustrated by a simulation study and applications to omics data.

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Jeroen M. Goedhart, Thomas Klausch, Mark A. van de Wiel. 2022-06-08. Estimation of Predictive Performance in High-Dimensional Data Settings using Learning Curves. https://arxiv.org/abs/2206.03825

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