5.8 Bias-Variance Tradeoff and k-fold Cross-Validation

  • As mentioned previously, the validation approach tends to overestimate the true test error, but there is low variance in the estimate since we just have one estimate of the test error.

  • Conversely, the LOOCV method has little bias, since almost all observations are used to create the models.

  • But, LOOCV doesn’t shake up the data enough: the estimates from each of the CV models is highly correlated and thus their mean can have high variance.

  • A better choice is k-fold CV with \(k = 5\) or \(k = 10\).

    • Often used in modeling because it has been empirically demonstrated to yield results that do not have either too much bias or variance.