Cross validation is a statistical method used to assess the performance of machine learning and statistical models. It’s primarily used to gauge the performance of a model on an unseen data set. In this guide, we will explore the concept of cross validation, why it’s important, and how to perform it in R.
1. What is Cross Validation?
Cross validation, often abbreviated as CV, is a method used to evaluate the predictive performance of models by partitioning the original sample into a training set to train the model, and a test set to evaluate it.
The idea behind cross validation is to create multiple train/test splits and compute an average performance measure. This process reduces the variance and provides a more accurate indication of a model’s real-world performance.
2. Why is Cross Validation Important?
- Avoiding Overfitting: Models may perform exceptionally well on training data but poorly on new, unseen data. This is because the model might be too complex and is overfitting the data. Cross validation can help diagnose this.
- Model Selection: Cross validation can help in comparing the performance of multiple models and choosing the best one.
- Hyperparameter Tuning: It’s common to use cross validation to fine-tune the parameters of a model.
3. Types of Cross Validation
- K-Fold Cross Validation: This is the most popular method. The data set is divided into ‘k’ subsets. Each time, one of the k subsets is used as the test set, and the other k-1 subsets are combined to form a training set. This process is repeated k times.
- Leave-One-Out Cross Validation (LOOCV): This is a special case of k-fold cross validation where k equals the number of observations in the data set. Each observation is used as the test set exactly once.
- Stratified K-Fold Cross Validation: In scenarios where the data distribution is not uniform (for instance, one class being more prevalent than the other in classification problems), stratified k-fold ensures each fold has the same proportion of observations with a given categorical value.
4. Performing Cross Validation in R
Step 1: Installing and Loading Necessary Packages
To begin, we need the caret package. Install and load it using:
install.packages("caret")
library(caret)Step 2: Data Preparation
For this guide, let’s assume you have a dataset data with the response variable named response.
set.seed(123)
splitIndex <- createDataPartition(data$response, p = 0.7, list = FALSE)
train_data <- data[splitIndex, ]
test_data <- data[-splitIndex, ]Step 3: K-Fold Cross Validation
Using the trainControl function, we can set up our cross-validation method:
train_control <- trainControl(method = "cv", number = 10)Now, let’s fit a model. For this example, let’s consider a linear regression model:
model <- train(response ~ ., data = train_data, trControl = train_control, method = "lm")Step 4: Evaluating Model Performance
Once our model is trained using cross validation, we can assess its performance:
results <- predict(model, test_data)
postResample(pred = results, obs = test_data$response)5. Other Considerations
- Repeated Cross Validation: To further reduce variance, one can perform repeated k-fold cross validation. In this approach, k-fold cross validation is repeated n times, producing n different partitions.
- Time Series Data: For time series data, specialized techniques like time series cross-validation or “rolling-forecast origin” are more appropriate.
- Computation Time: Cross validation can be computationally expensive, especially with large data sets or complex models. Parallel processing or a more powerful computing environment may be needed.
6. Conclusion
Cross validation is a robust method to estimate the predictive performance of statistical and machine learning models. It offers a more comprehensive view of a model’s performance than simply splitting data into training and testing subsets. By employing cross validation in R, practitioners can build more reliable and generalizable models.