Kamiar Rahnamarad

Approximate Leave-one-out Cross Validation for Regression with $\ell_1$ Regularizers

The out-of-sample error (OO) is the main quantity of interest in risk estimation and model selection. Leave-one-out cross validation (LO) offers a (nearly) distribution-free yet computationally demanding method to estimate OO. Recent theoretical work showed that approximate leave-one-out cross valid…