Confidence intervals for the Cox model test error from cross-validation. (arXiv:2201.10770v1 [stat.ME])

Web: http://arxiv.org/abs/2201.10770

Cross-validation (CV) is one of the most widely used techniques in
statistical learning for estimating the test error of a model, but its behavior
is not yet fully understood. It has been shown that standard confidence
intervals for test error using estimates from CV may have coverage below
nominal levels. This phenomenon occurs because each sample is used in both the
training and testing procedures during CV and as a result, the CV estimates of
the errors become correlated. Without …

arxiv confidence cross model test validation