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LOOCV / GCV for ridge / logistic #36

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tlienart opened this issue Nov 13, 2019 · 0 comments

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API enhancement high priority

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tlienart commented Nov 13, 2019 •

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Ridge

refs

https://arxiv.org/pdf/1509.09169.pdf
GCV and GCVPack (probably a good place to start): http://pages.stat.wisc.edu/~wahba/stat860public/pdf1/775r.pdf
page 22 https://elib.uni-stuttgart.de/bitstream/11682/9236/1/BA_fertig_QianKun_25072017.pdf
slides https://www.wias-berlin.de/workshops/validation2010/workshop_slides/talk_goeman.pdf

Basically just have to minimise a criterion that can be evaluated in constant time after the first fit.

Similar stuff can be obtained for LOOCV it seems

proper refs

http://w3.atomki.hu/~efo/hornyak/Tikhonov_references/Technometrics_Golub_Heath_Wahba

Logistic: https://arxiv.org/pdf/1711.05420.pdf

tlienart added API enhancement high priority labels

ablaom added this to priority high / involved in General

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