nestedcv

CRANnestedcvMaRDI QIDQ86321FDOQ86321

Nested Cross-Validation with 'glmnet' and 'caret'

Myles Lewis, Athina Spiliopoulou, Katriona Goldmann

Last update: 30 January 2024

Copyright license: MIT license, File License

Software version identifier: 0.4.4, 0.6.1, 0.6.2, 0.6.4, 0.2.3, 0.3.0, 0.4.0, 0.6.6, 0.6.7, 0.6.9, 0.7.0, 0.7.3, 0.7.4

Description

Implements nested k*l-fold cross-validation for lasso and elastic-net regularised linear models via the 'glmnet' package and other machine learning models via the 'caret' package. Cross-validation of 'glmnet' alpha mixing parameter and embedded fast filter functions for feature selection are provided. Described as double cross-validation by Stone (1977) <doi:10.1111/j.2517-6161.1977.tb01603.x>. Also implemented is a method using outer CV to measure unbiased model performance metrics when fitting Bayesian linear and logistic regression shrinkage models using the horseshoe prior over parameters to encourage a sparse model as described by Piironen & Vehtari (2017) <doi:10.1214/17-EJS1337SI>.

Cites work

• An Asymptotic Equivalence of Choice of Model by Cross-Validation and Akaike's Criterion
• Sparsity information and regularization in the horseshoe and other shrinkage priors

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