Nested cross-validation for unbiased predictions. Can be used with Scikit-Learn, XGBoost, Keras and LightGBM, or any other estimator that implements the scikit-learn interface.
Returns
-------
It will not return directly the values, but it's accessable from the class object it self.
You should be able to access:
variance
Model variance by numpy.var()
outer_scores
Outer score List.
best_inner_score_list
Best inner scores for each outer loop
best_params
All best params from each inner loop cumulated in a dict
best_inner_params_list
Best inner params for each outer loop as an array of dictionaries
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