LOOCV / GCV for ridge / logistic - Githubissues

JuliaAI / MLJLinearModels.jl

Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)

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LOOCV / GCV for ridge / logistic #36

Open tlienart opened 4 years ago

tlienart commented 4 years ago

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