A Scalable Estimate of the Out-of-Sample Prediction Error via Approximate Leave-One-Out Cross-Validation

DOI10.1111/RSSB.12374OpenAlexW3036840984MaRDI QIDQ5087163

Arian Maleki, Kamiar Rahnama Rad

Publication date: 8 July 2022

Published in: Journal of the Royal Statistical Society Series B: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.10243

zbMATH Keywords

cross-validationgeneralized linear modelsregularized estimationhigh dimensional statisticsout-of-sample risk estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Randomized Nyström Preconditioning

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