Open VincentWtrs opened 5 years ago
Since AIC is an approximation to LOOCV, but LOOCV generally is better, what if we could find a nicer LOOCV approximation that would allows fast calculation of CV and hence might give nice loss efficient results as well.
See: https://scholar.google.be/scholar?cites=7517160253492394187&as_sdt=2005&sciodt=0,5&hl=en http://www.jmlr.org/papers/volume19/17-684/17-684.pdf
Since AIC is an approximation to LOOCV, but LOOCV generally is better, what if we could find a nicer LOOCV approximation that would allows fast calculation of CV and hence might give nice loss efficient results as well.
See: https://scholar.google.be/scholar?cites=7517160253492394187&as_sdt=2005&sciodt=0,5&hl=en http://www.jmlr.org/papers/volume19/17-684/17-684.pdf