A Theory of Nested Cross Simulation

January 1, 2017

(This article was first published on R – Win-Vector Blog, and kindly contributed to R-bloggers)

[Reader’s Note. Some of our articles are applied and some of our articles are more theoretical. The following article is more theoretical, and requires fairly formal notation to even work through. However, it should be of interest as it touches on some of the fine points of cross-validation that are quite hard to perceive or discuss without the notational framework. We thought about including some “simplifying explanatory diagrams” but so many entities are being introduced and manipulated by the processes we are describing we found equation notation to be in fact cleaner than the diagrams we attempted and rejected.]

Please consider either of the following common predictive modeling tasks:

  • Picking hyper-parameters, fitting a model, and then evaluating the model.
  • Variable preparation/pruning, fitting a model, and then evaluating the model.

In each case you are building a pipeline where “y-aware” (or outcome aware) choices and transformations made at each stage affect later stages. This can introduce undesirable nested model bias and over-fitting.

Our current standard advice to avoid nested model bias is either:

  • Split your data into 3 or more disjoint pieces, such as separate variable preparation/pruning, model fitting, and model evaluation.
  • Reserve a test-set for evaluation and use “simulated out of sample data” or “cross-frame”/“cross simulation” techniques to simulate dividing data among the first two model construction stages.

The first practice is simple and computationally efficient, but statistically inefficient. This may not matter if you have a lot of data, as in “big data”. The second procedure is more statistically efficient, but is also more complicated and has some computational cost. For convenience the cross simulation method is supplied as a ready to go procedure in our R data cleaning and preparation package vtreat.

What would it look like if we insisted on using cross simulation or simulated out of sample techniques for all three (or more) stages? Please read on to find out.


Hyperbole and a Half copyright Allie Brosh (use allowed in some situations with attribution)

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