Regular, median and Huber cross‐validation: A computational comparison
نویسندگان
چکیده
منابع مشابه
Regular, median and Huber cross-validation: A computational comparison
We present a new technique for comparing models using a median form of cross-validation and least median of squares estimation (MCV-LMS). Rather than minimizing the sums of squares of residual errors, we minimize the median of the squared residual errors. We compare this with a robustified form of cross-validation using the Huber loss function and robust coefficient estimators (HCV). Through ex...
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ژورنال
عنوان ژورنال: Statistical Analysis and Data Mining: The ASA Data Science Journal
سال: 2015
ISSN: 1932-1864,1932-1872
DOI: 10.1002/sam.11254