Modified Cross-Validation for Penalized High-Dimensional Linear Regression Models

2013/09/09 by Yi Yu, Yang Feng, Yu, Yi +1
Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #Methodology (stat.ME) #Statistical Methods and Bayesian Inference #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1309.2068

openalex publication_date 2013/09/09 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In this paper, for Lasso penalized linear regression models in high-dimensional settings, we propose a modified cross-validation method for selecting the penalty parameter. The methodology is extended to other penalties, such as Elastic Net. We conduct extensive simulation studies and real data analysis to compare the performance of the modified cross-validation method with other methods. It is shown that the popular K-fold cross-validation method includes many noise variables in the selected model, while the modified cross-validation works well in a wide range of coefficient and correlation settings. Supplemental materials containing the computer code are available online.

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