statistics

cross validation

Assessing a model on data it was not fitted to, by splitting the sample repeatedly.
24 related articles

Description

Cross-validation is a family of techniques for estimating how well a statistical model will perform on new, unseen data. The core idea is to split the available data into separate parts: one part is used to train the model, and the other part is used to test it. This mimics the real-world situation where a model must make predictions on data it has never encountered, giving a more honest measure of its predictive power than simply re-testing on the training data.

History

The concept was introduced by Seymour Geisser in 1975, building on earlier work on data splitting and prediction.

How it works

The most common form is k-fold cross-validation. The data is randomly divided into k equal-sized folds. The model is trained on k−1 folds and tested on the remaining fold. This process is repeated k times, each time using a different fold as the test set. The final performance estimate is the average of the k test results. This uses all data for both training and testing, reducing the variance of the estimate compared to a single split.

In practice

It is used in machine learning to tune hyperparameters, select between competing models, and report realistic accuracy figures.

Fun fact

In leave-one-out cross-validation, a special case where k equals the number of data points, the model is trained on all but one point and tested on that single point, repeated for every point.

Concept graph →

Related articles · 24

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