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Pré-Publication, Document De Travail Année : 2024

Fast Computation of Leave-One-Out Cross-Validation for $k$-NN Regression

Résumé

We describe a fast computation method for leave-one-out cross-validation (LOOCV) for $k$-nearest neighbours ($k$-NN) regression. We show that, under a tie-breaking condition for nearest neighbours, the LOOCV estimate of the mean square error for $k$-NN regression is identical to the mean square error of $(k+1)$-NN regression evaluated on the training data, multiplied by the scaling factor $(k+1)^2/k^2$. Therefore, to compute the LOOCV score, one only needs to fit $(k+1)$-NN regression only once, and does not need to repeat training-validation of $k$-NN regression for the number of training data. Numerical experiments confirm the validity of the fast computation method.

Dates et versions

hal-04573307 , version 1 (13-05-2024)

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Citer

Motonobu Kanagawa. Fast Computation of Leave-One-Out Cross-Validation for $k$-NN Regression. 2024. ⟨hal-04573307⟩
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