Resampling and Cross-Validation

Free SOA Exam SRM (Statistics for Risk Modeling) lesson in Basics of Statistical Learning. 15 min read, ~2,183 words.

Validation set approach: split once into training and test. Simple, but the estimate is high-variance and the model trains on less data. k-fold cross-validation: partition into k equal folds, train on k-1, test on 1, rotate, average the k test errors. Standard choices are k = 5 or k =...