Predictive Performance Test based on the Exhaustive Nested Cross-Validation for High-dimensional data
基于穷举嵌套交叉验证的高维数据预测性能检验
It is crucial to assess the predictive performance of a model to establish its practicality and relevance in real-world scenarios, particularly for high-dimensional data analysis. Among data splitting or resampling methods, cross-validation (CV) is extensively used for several tasks such as estimating the prediction error, tuning the regularization parameter, and selecting the most suitable predictive model among competing alternatives. The $K$-fold cross-validation is a…