Estimation Stability With Cross-Validation (ESCV)
Estimation Stability With Cross-Validation (ESCV)
Cross-validation (CV) is often used to select the regularization parameter in high-dimensional problems. However, when applied to the sparse modeling method Lasso, CV leads to models that are unstable in high-dimensions, and consequently not suited for reliable interpretation. In this article, we propose a model-free criterion ESCV based on a …