Prequential and Cross-Validated Regression Estimation

  • Authors:
  • Dharmendra S. Modha;Elias Masry

  • Affiliations:
  • IBM Almaden Research Center, San Jose, CA 95120-6099, USA;Department of Electrical and Computer Engineering, University of California at San Diego, La Jolla, CA 92093-0407, USA

  • Venue:
  • Machine Learning
  • Year:
  • 1998

Quantified Score

Hi-index 0.00

Visualization

Abstract

Prequential model selection and delete-onecross-validation are data-driven methodologies for choosing betweenrival models on the basis of their predictive abilities. For a givenset of observations, the predictive ability of a model is measured bythe model‘s accumulated prediction error and by the model‘saverage-out-of-sample prediction error, respectively, for prequentialmodel selection and for cross-validation. In this paper, giveni.i.d. observations, we propose nonparametric regressionestimators—based on neural networks—that select the number of“hidden units” (or “neurons”) using either prequential modelselection or delete-one cross-validation. As our main contributions:(i) we establish rates of convergence for the integrated mean-squarederrors in estimating the regression function using “off-line” or“batch” versions of the proposed estimators and (ii) we establishrates of convergence for the time-averaged expected prediction errorsin using “on-line” versions of the proposed estimators. We alsopresent computer simulations (i) empirically validating the proposedestimators and (ii) empirically comparing the proposed estimatorswith certain novel prequential and cross-validated “mixture”regression estimators.