We investigate generically applicable and intuitively appealing prediction intervals based on $k$-fold cross validation. We focus on the conditional coverage probability of the proposed intervals, given the observations in the training sample (hence, training conditional validity), and show that it is close to the nominal level, in an appropriate sense, provided that the underlying algorithm used for computing point predictions is sufficiently stable when feature-response pairs are omitted. Our results are based on a finite sample analysis of the empirical distribution function of $k$-fold cross validation residuals and hold in non-parametric settings with only minimal assumptions on the error distribution. To illustrate our results, we also apply them to high-dimensional linear predictors, where we obtain uniform asymptotic training conditional validity as both sample size and dimension tend to infinity at the same rate and consistent parameter estimation typically fails. These results show that despite the serious problems of resampling procedures for inference on the unknown parameters (cf. Bickel and Freedman, 1983; El Karoui and Purdom, 2018; Mammen, 1996), cross validation methods can be successfully applied to obtain reliable predictive inference even in high dimensions and conditionally on the training data.
翻译:我们根据以美元乘数校准法调查一般适用和直觉具有吸引力的预测间隔。我们侧重于拟议间隔的有条件覆盖概率,考虑到培训样本中的观察结果(因此,培训有条件有效性),我们注重拟议的间隔的有条件覆盖概率,并表明,如果计算点预测所使用的基本算法在省略地响应对配方时足够稳定,在适当意义上接近名义水平,只要计算点预测所使用的基本算法在特性响应对配方省略时足够稳定。我们的结果基于对美元乘数校准剩余物的经验分配功能的有限抽样分析,并保存在非参数中,只有最低的误差分布假设。为了说明我们的结果,我们还将它们应用到高维线性线性预测器,因为我们获得统一的无线性培训的有条件有效性,因为样本大小和尺寸都倾向于同一比例和一致参数估计通常都失败。这些结果显示,尽管对未知参数的推断程序存在重新采样的严重问题(参见Bickel和Freedman,1983年;El Karoui和Purdom,2018;Mem,1996年),可以成功地应用交叉验证方法,以获得可靠的预测性数据,即使是在高维度和有条件的培训。