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A bias correction for the minimum error rate in cross-validation. (English)
Ann. Appl. Stat. 3, No. 2, 822-829 (2009).
Summary: Tuning parameters in supervised learning problems are often estimated by cross-validation. The minimum value of the cross-validation error can be biased downward as an estimate of the test error at that same value of the tuning parameter. We propose a simple method for the estimation of this bias that uses information from the cross-validation process. As a result, it requires essentially no additional computation. We apply our bias estimate to a number of popular classifiers in various settings, and examine its performance.
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