crossval

Loss estimate using cross validation

Syntax

vals = crossval(fun,X)
vals = crossval(fun,X,Y,...)
mse = crossval('mse',X,y,'Predfun',predfun)
mcr = crossval('mcr',X,y,'Predfun',predfun)
val = crossval(criterion,X1,X2,...,y,'Predfun',predfun)
vals = crossval(...,'name',value)

Description

vals = crossval(fun,X) performs 10-fold cross validation for the function fun, applied to the data in X.

fun is a function handle to a function with two inputs, the training subset of X, XTRAIN, and the test subset of X, XTEST, as follows:

testval = fun(XTRAIN,XTEST)

Each time it is called, fun should use XTRAIN to fit a model, then return some criterion testval computed on XTEST using that fitted model.

X can be a column vector or a matrix. Rows of X correspond to observations; columns correspond to variables or features. Each row of vals contains the result of applying fun to one test set. If testval is a non-scalar value, crossval converts it to a row vector using linear indexing and stored in one row of vals.

vals = crossval(fun,X,Y,...) is used when data are stored in separate variables X, Y, ... . All variables (column vectors, matrices, or arrays) must have the same number of rows. fun is called with the training subsets of X, Y, ... , followed by the test subsets of X, Y, ... , as follows:

testvals = fun(XTRAIN,YTRAIN,...,XTEST,YTEST,...)

mse = crossval('mse',X,y,'Predfun',predfun) returns mse, a scalar containing a 10-fold cross validation estimate of mean-squared error for the function predfun. X can be a column vector, matrix, or array of predictors. y is a column vector of response values. X and y must have the same number of rows.

predfun is a function handle called with the training subset of X, the training subset of y, and the test subset of X as follows:

yfit = predfun(XTRAIN,ytrain,XTEST)

Each time it is called, predfun should use XTRAIN and ytrain to fit a regression model and then return fitted values in a column vector yfit. Each row of yfit contains the predicted values for the corresponding row of XTEST. crossval computes the squared errors between yfit and the corresponding response test set, and returns the overall mean across all test sets.

mcr = crossval('mcr',X,y,'Predfun',predfun) returns mcr, a scalar containing a 10-fold cross validation estimate of misclassification rate (the proportion of misclassified samples) for the function predfun. The matrix X contains predictor values and the vector y contains class labels. predfun should use XTRAIN and YTRAIN to fit a classification model and return yfit as the predicted class labels for XTEST. crossval computes the number of misclassifications between yfit and the corresponding response test set, and returns the overall misclassification rate across all test sets.

val = crossval(criterion,X1,X2,...,y,'Predfun',predfun), where criterion is 'mse' or 'mcr', returns a cross validation estimate of mean-squared error (for a regression model) or misclassification rate (for a classification model) with predictor values in X1, X2, ... and, respectively, response values or class labels in y. X1, X2, ... and y must have the same number of rows. predfun is a function handle called with the training subsets of X1, X2, ..., the training subset of y, and the test subsets of X1, X2, ..., as follows:

yfit=predfun(X1TRAIN,X2TRAIN,...,ytrain,X1TEST,X2TEST,...)

yfit should be a column vector containing the fitted values.

vals = crossval(...,'name',value) specifies one or more optional parameter name/value pairs from the following table. Specify name inside single quotes.

NameValue
holdout

A scalar specifying the ratio or the number of observations p for holdout cross validation. When 0 < p < 1, approximately p*n observations for the test set are randomly selected. When p is an integer, p observations for the test set are randomly selected.

kfold

A scalar specifying the number of folds k for k-fold cross validation.

leaveout

Specifies leave-one-out cross validation. The value must be 1.

mcreps

A positive integer specifying the number of Monte-Carlo repetitions for validation. Ifthe first input of crossval is 'mse' or 'mcr', crossval returns the mean of mean-squared error or misclassification rate across all of the Monte-Carlo repetitions. Otherwise, crossval concatenates the values vals from all of the Monte-Carlo repetitions along the first dimension.

partition

An object c of the cvpartition class, specifying the cross validation type and partition.

stratify

A column vector group specifying groups for stratification. Both training and test sets have roughly the same class proportions as in group. NaNs or empty strings in group are treated as missing values, and the corresponding rows of the data are ignored.

options

A structure that specifies whether to run in parallel, and specifies the random stream or streams. Create the options structure with statset. Option fields:

  • UseParallel — Set to true to compute in parallel. Default is false.

  • UseSubstreams — Set to true to compute in parallel in a reproducible fashion. Default is false. To compute reproducibly, set Streams to a type allowing substreams: 'mlfg6331_64' or 'mrg32k3a'.

  • Streams — A RandStream object or cell array consisting of one such object. If you do not specify Streams, crossval uses the default stream.

Only one of kfold, holdout, leaveout, or partition can be specified, and partition cannot be specified with stratify. If both partition and mcreps are specified, the first Monte-Carlo repetition uses the partition information in the cvpartition object, and the repartition method is called to generate new partitions for each of the remaining repetitions. If no cross validation type is specified, the default is 10-fold cross validation.

    Note:   When using cross validation with classification algorithms, stratification is preferred. Otherwise, some test sets may not include observations from all classes.

Examples

Example 1

Compute mean-squared error for regression using 10-fold cross validation:

load('fisheriris');
y = meas(:,1);
X = [ones(size(y,1),1),meas(:,2:4)];

regf=@(XTRAIN,ytrain,XTEST)(XTEST*regress(ytrain,XTRAIN));

cvMse = crossval('mse',X,y,'predfun',regf)
cvMse =
    0.1015

Example 2

Compute misclassification rate using stratified 10-fold cross validation:

load('fisheriris');
y = species;
X = meas;
cp = cvpartition(y,'k',10); % Stratified cross-validation

classf = @(XTRAIN, ytrain,XTEST)(classify(XTEST,XTRAIN,...
ytrain));

cvMCR = crossval('mcr',X,y,'predfun',classf,'partition',cp)
cvMCR =
    0.0200

Example 3

Compute the confusion matrix using stratified 10-fold cross validation:

load('fisheriris');
y = species;
X = meas;
order = unique(y); % Order of the group labels
cp = cvpartition(y,'k',10); % Stratified cross-validation

f = @(xtr,ytr,xte,yte)confusionmat(yte,...
classify(xte,xtr,ytr),'order',order);

cfMat = crossval(f,X,y,'partition',cp);
cfMat = reshape(sum(cfMat),3,3)
cfMat =
    50     0     0
     0    48     2
     0     1    49

cfMat is the summation of 10 confusion matrices from 10 test sets.

References

[1] Hastie, T., R. Tibshirani, and J. Friedman. The Elements of Statistical Learning. New York: Springer, 2001.

See Also

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