A new formula for fast computation of segmented cross validation residuals in linear regression modelling – providing efficient regularisation parameter estimation in Ridge R

11/28/2022
by   Kristian Hovde Liland, et al.
0

In the present paper we prove a new theorem, resulting in an exact updating formula for linear regression model residuals to calculate the segmented cross-validation residuals for any choice of cross-validation strategy without model refitting. The required matrix inversions are limited by the cross-validation segment sizes and can be executed with high efficiency in parallel. The well-known formula for leave-one-out cross-validation follows as a special case of our theorem. In situations where the cross-validation segments consist of small groups of repeated measurements, we suggest a heuristic strategy for fast serial approximations of the cross-validated residuals and associated PRESS statistic. We also suggest strategies for quick estimation of the exact minimum PRESS value and full PRESS function over a selected interval of regularisation values. The computational effectiveness of the parameter selection for Ridge-/Tikhonov regression modelling resulting from our theoretical findings and heuristic arguments is demonstrated for several practical applications.

READ FULL TEXT

Please sign up or login with your details

Forgot password? Click here to reset