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Leave-Many-Out crossvalidation
The “leave-many-out”
crossvalidation method was firstly described in 1975. [3] Later the
asymptotic consistence of the method was proved. [2] Because of
combinatorial complexity of the calculation resulted in low productivity, some
simplifications were developed for the method. The evaluation of the results of
“leave-many-out” crossvalidation can be done using Monte Carlo approach. [1]
References:
- Xu Q.-S.; Liang Y.-Z. Monte Carlo cross validation Chemom.
Intell. Lab. Syst. 2001, 56, 1-11.
- Stone M. An Asymptotic Equivalence of Choice of
Model by Cross-Validation and Akaike’s Criterion J. R. Stat. Soc., B 1977, 38, 44-47.
- Geisser, S. The Predictive Sample Reuse Method
with Application J. Amer. Stat.Ass. 1975, 70, 320-328.
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