V-fold cross-validation improved: V-fold penalization

TL;DR

This paper introduces V-fold penalization, an improved model selection method over V-fold cross-validation, especially effective in heteroscedastic regression, with theoretical guarantees and empirical validation showing enhanced performance.

Contribution

It proposes V-fold penalization, a new model selection procedure that outperforms V-fold cross-validation in non-asymptotic settings and adapts to heteroscedastic noise.

Findings

V-fold penalization satisfies a non-asymptotic oracle inequality.

It adapts to the smoothness of the regression function.

Simulation results show significant improvement over V-fold cross-validation.

Abstract

We study the efficiency of V-fold cross-validation (VFCV) for model selection from the non-asymptotic viewpoint, and suggest an improvement on it, which we call ``V-fold penalization''. Considering a particular (though simple) regression problem, we prove that VFCV with a bounded V is suboptimal for model selection, because it ``overpenalizes'' all the more that V is large. Hence, asymptotic optimality requires V to go to infinity. However, when the signal-to-noise ratio is low, it appears that overpenalizing is necessary, so that the optimal V is not always the larger one, despite of the variability issue. This is confirmed by some simulated data. In order to improve on the prediction performance of VFCV, we define a new model selection procedure, called ``V-fold penalization'' (penVF). It is a V-fold subsampling version of Efron's bootstrap penalties, so that it has the same computational cost as VFCV, while being more flexible. In a heteroscedastic regression framework, assuming the models to have a particular structure, we prove that penVF satisfies a non-asymptotic oracle inequality with a leading constant that tends to 1 when the sample size goes to infinity. In particular, this implies adaptivity to the smoothness of the regression function, even with a highly heteroscedastic noise. Moreover, it is easy to overpenalize with penVF, independently from the V parameter. A simulation study shows that this results in a significant improvement on VFCV in non-asymptotic situations.