Model Selection Done Right: A Gentle Introduction to Nested Cross-Validation

Practical Machine Learning

Learn how to use this essential Machine Learning technique

This article will review one of the most important techniques in Machine Learning: nested cross-validation. When deploying a model, we select the best one from several choices (e.g., random forest vs. support vector machine) with the best combination of hyperparameters (e.g., random forest with 50 trees vs. one with 5 trees). However, we also need to estimate the generalization error (how well the model will …

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