- Statist. Surv.
- Volume 4 (2010), 40-79.
A survey of cross-validation procedures for model selection
Used to estimate the risk of an estimator or to perform model selection, cross-validation is a widespread strategy because of its simplicity and its (apparent) universality. Many results exist on model selection performances of cross-validation procedures. This survey intends to relate these results to the most recent advances of model selection theory, with a particular emphasis on distinguishing empirical statements from rigorous theoretical results. As a conclusion, guidelines are provided for choosing the best cross-validation procedure according to the particular features of the problem in hand.
Statist. Surv. Volume 4 (2010), 40-79.
First available in Project Euclid: 9 March 2010
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Arlot, Sylvain; Celisse, Alain. A survey of cross-validation procedures for model selection. Statist. Surv. 4 (2010), 40--79. doi:10.1214/09-SS054. http://projecteuclid.org/euclid.ssu/1268143839.