The costs of complex model optimization
article
Each data-driven action in data modelling consumes degrees of freedom, whether it concerns estimation of parameters, estimation of meta-parameters or selecting variables. By using a double cross validation approach for degrees of freedom calculation the costs for meta-parameter estimation and variable selection can be determined explicitly. The only assumptions are independent and identically distributed errors, which make the approach applicable to many predictive modelling techniques. © 2013.
TNO Identifier
472349
ISSN
01697439
Source
Chemometrics and Intelligent Laboratory Systems, 125, pp. 139-146.
Pages
139-146
Files
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