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Estimation of predictive performance in high-dimensional data settings using learning curves

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  • Goedhart, Jeroen M.
  • Klausch, Thomas
  • van de Wiel, Mark A.

Abstract

In high-dimensional prediction settings, it remains challenging to reliably estimate the test performance. To address this challenge, a novel performance estimation framework is presented. This framework, called Learn2Evaluate, is based on learning curves by fitting a smooth monotone curve depicting test performance as a function of the sample size. Learn2Evaluate has several advantages compared to commonly applied performance estimation methodologies. Firstly, a learning curve offers a graphical overview of a learner. This overview assists in assessing the potential benefit of adding training samples and it provides a more complete comparison between learners than performance estimates at a fixed subsample size. Secondly, a learning curve facilitates in estimating the performance at the total sample size rather than a subsample size. Thirdly, Learn2Evaluate allows the computation of a theoretically justified and useful lower confidence bound. Furthermore, this bound may be tightened by performing a bias correction. The benefits of Learn2Evaluate are illustrated by a simulation study and applications to omics data.

Suggested Citation

  • Goedhart, Jeroen M. & Klausch, Thomas & van de Wiel, Mark A., 2023. "Estimation of predictive performance in high-dimensional data settings using learning curves," Computational Statistics & Data Analysis, Elsevier, vol. 180(C).
    • Handle: RePEc:eee:csdana:v:180:y:2023:i:c:s016794732200202x
    DOI: 10.1016/j.csda.2022.107622
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    References listed on IDEAS

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