This vignette covers the basics of using the **cv**
package for cross-validation. The first, and major, section of the
vignette consists of examples that fit linear and generalized linear
models to data sets with independently sampled cases. Brief sections
follow on replicating cross-validation, manipulating the objects
produced by `cv()`

and related functions, and employing
parallel computations.

There are several other vignettes associated with the
**cv** package: on cross-validating mixed-effects models;
on cross-validating model-selection procedures; and on technical
details, such as computational procedures.

Cross-validation (CV) is an essentially simple and intuitively reasonable approach to estimating the predictive accuracy of regression models. CV is developed in many standard sources on regression modeling and “machine learning”—we particularly recommend James, Witten, Hastie, & Tibshirani (2021, secs. 5.1, 5.3)—and so we will describe the method only briefly here before taking up computational issues and some examples. See Arlot & Celisse (2010) for a wide-ranging, if technical, survey of cross-validation and related methods that emphasizes the statistical properties of CV.

Validating research by replication on independently collected data is a common scientific norm. Emulating this process in a single study by data-division is less common: The data are randomly divided into two, possibly equal-size, parts; the first part is used to develop and fit a statistical model; and then the second part is used to assess the adequacy of the model fit to the first part of the data. Data-division, however, suffers from two problems: (1) Dividing the data decreases the sample size and thus increases sampling error; and (2), even more disconcertingly, particularly in smaller samples, the results can vary substantially based on the random division of the data: See Harrell (2015, sec. 5.3) for this and other remarks about data-division and cross-validation.

Cross-validation speaks to both of these issues. In CV, the data are randomly divided as equally as possible into several, say \(k\), parts, called “folds.” The statistical model is fit \(k\) times, leaving each fold out in turn. Each fitted model is then used to predict the response variable for the cases in the omitted fold. A CV criterion or “cost” measure, such as the mean-squared error (“MSE”) of prediction, is then computed using these predicted values. In the extreme \(k = n\), the number of cases in the data, thus omitting individual cases and refitting the model \(n\) times—a procedure termed “leave-one-out (LOO) cross-validation.”

Because the \(n\) models are each fit to \(n - 1\) cases, LOO CV produces a nearly unbiased estimate of prediction error. The \(n\) regression models are highly statistically dependent, however, based as they are on nearly the same data, and so the resulting estimate of prediction error has larger variance than if the predictions from the models fit to the \(n\) data sets were independent.

Because predictions are based on smaller data sets, each of size approximately \(n - n/k\), estimated prediction error for \(k\)-fold CV with \(k = 5\) or \(10\) (commonly employed choices) is more biased than estimated prediction error for LOO CV. It is possible, however, to correct \(k\)-fold CV for bias (see below).

The relative *variance* of prediction error for LOO CV and
\(k\)-fold CV (with \(k < n\)) is more complicated: Because
the overlap between the data sets with each fold omitted is smaller for
\(k\)-fold CV than for LOO CV, the
dependencies among the predictions are smaller for the former than for
the latter, tending to produce smaller variance in prediction error for
\(k\)-fold CV. In contrast, there are
factors that tend to inflate the variance of prediction error in \(k\)-fold CV, including the reduced size of
the data sets with each fold omitted and the randomness induced by the
selection of folds—in LOO CV the folds are not random.

`Auto`

dataThe data for this example are drawn from the **ISLR2**
package for R, associated with James et al.
(2021). The presentation here is close (though not identical) to
that in the original source (James et al., 2021,
secs. 5.1, 5.3), and it demonstrates the use of the
`cv()`

function in the **cv** package.^{1}

The `Auto`

dataset contains information about 392
cars:

```
data("Auto", package="ISLR2")
head(Auto)
#> mpg cylinders displacement horsepower weight acceleration year origin
#> 1 18 8 307 130 3504 12.0 70 1
#> 2 15 8 350 165 3693 11.5 70 1
#> 3 18 8 318 150 3436 11.0 70 1
#> 4 16 8 304 150 3433 12.0 70 1
#> 5 17 8 302 140 3449 10.5 70 1
#> 6 15 8 429 198 4341 10.0 70 1
#> name
#> 1 chevrolet chevelle malibu
#> 2 buick skylark 320
#> 3 plymouth satellite
#> 4 amc rebel sst
#> 5 ford torino
#> 6 ford galaxie 500
dim(Auto)
#> [1] 392 9
```

With the exception of `origin`

(which we don’t use here),
these variables are largely self-explanatory, except possibly for units
of measurement: for details see
`help("Auto", package="ISLR2")`

.

We’ll focus here on the relationship of `mpg`

(miles per
gallon) to `horsepower`

, as displayed in the following
scatterplot:

The relationship between the two variables is monotone, decreasing,
and nonlinear. Following James et al.
(2021), we’ll consider approximating the relationship by a
polynomial regression, with the degree of the polynomial \(p\) ranging from 1 (a linear regression) to
10.^{2}
Polynomial fits for \(p = 1\) to \(5\) are shown in the following figure:

```
plot(mpg ~ horsepower, data = Auto)
horsepower <- with(Auto,
seq(min(horsepower), max(horsepower),
length = 1000))
for (p in 1:5) {
m <- lm(mpg ~ poly(horsepower, p), data = Auto)
mpg <- predict(m, newdata = data.frame(horsepower = horsepower))
lines(horsepower,
mpg,
col = p + 1,
lty = p,
lwd = 2)
}
legend(
"topright",
legend = 1:5,
col = 2:6,
lty = 1:5,
lwd = 2,
title = "Degree",
inset = 0.02
)
```

The linear fit is clearly inappropriate; the fits for \(p = 2\) (quadratic) through \(4\) are very similar; and the fit for \(p = 5\) may over-fit the data by chasing
one or two relatively high `mpg`

values at the right (but see
the CV results reported below).

The following graph shows two measures of estimated (squared) error as a function of polynomial-regression degree: The mean-squared error (“MSE”), defined as \(\mathsf{MSE} = \frac{1}{n}\sum_{i=1}^n (y_i - \widehat{y}_i)^2\), and the usual residual variance, defined as \(\widehat{\sigma}^2 = \frac{1}{n - p - 1} \sum_{i=1}^n (y_i - \widehat{y}_i)^2\). The former necessarily declines with \(p\) (or, more strictly, can’t increase with \(p\)), while the latter gets slightly larger for the largest values of \(p\), with the “best” value, by a small margin, for \(p = 7\).

```
library("cv") # for mse() and other functions
var <- mse <- numeric(10)
for (p in 1:10) {
m <- lm(mpg ~ poly(horsepower, p), data = Auto)
mse[p] <- mse(Auto$mpg, fitted(m))
var[p] <- summary(m)$sigma ^ 2
}
plot(
c(1, 10),
range(mse, var),
type = "n",
xlab = "Degree of polynomial, p",
ylab = "Estimated Squared Error"
)
lines(
1:10,
mse,
lwd = 2,
lty = 1,
col = 2,
pch = 16,
type = "b"
)
lines(
1:10,
var,
lwd = 2,
lty = 2,
col = 3,
pch = 17,
type = "b"
)
legend(
"topright",
inset = 0.02,
legend = c(expression(hat(sigma) ^ 2), "MSE"),
lwd = 2,
lty = 2:1,
col = 3:2,
pch = 17:16
)
```

The code for this graph uses the `mse()`

function from the
**cv** package to compute the MSE for each fit.

`cv()`

The generic `cv()`

function has an `"lm"`

method, which by default performs \(k =
10\)-fold CV:

```
m.auto <- lm(mpg ~ poly(horsepower, 2), data = Auto)
summary(m.auto)
#>
#> Call:
#> lm(formula = mpg ~ poly(horsepower, 2), data = Auto)
#>
#> Residuals:
#> Min 1Q Median 3Q Max
#> -14.714 -2.594 -0.086 2.287 15.896
#>
#> Coefficients:
#> Estimate Std. Error t value Pr(>|t|)
#> (Intercept) 23.446 0.221 106.1 <2e-16 ***
#> poly(horsepower, 2)1 -120.138 4.374 -27.5 <2e-16 ***
#> poly(horsepower, 2)2 44.090 4.374 10.1 <2e-16 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Residual standard error: 4.37 on 389 degrees of freedom
#> Multiple R-squared: 0.688, Adjusted R-squared: 0.686
#> F-statistic: 428 on 2 and 389 DF, p-value: <2e-16
cv(m.auto)
#> R RNG seed set to 860198
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: mse
#> cross-validation criterion = 19.605
#> bias-adjusted cross-validation criterion = 19.571
#> full-sample criterion = 18.985
```

The `"lm"`

method by default uses `mse()`

as
the CV criterion and the Woodbury matrix identity (Hager, 1989) to update the regression with each
fold deleted without having literally to refit the model. (Computational
details are discussed in a separate vignette.) The function reports the
CV estimate of MSE, a biased-adjusted estimate of the MSE (the bias
adjustment is explained in the final section), and the MSE is also
computed for the original, full-sample regression. Because the division
of the data into 10 folds is random, `cv()`

explicitly
(randomly) generates and saves a seed for R’s pseudo-random number
generator, to make the results replicable. The user can also specify the
seed directly via the `seed`

argument to
`cv()`

.

To perform LOO CV, we can set the `k`

argument to
`cv()`

to the number of cases in the data, here
`k=392`

, or, more conveniently, to `k="loo"`

or
`k="n"`

:

```
cv(m.auto, k = "loo")
#> n-Fold Cross Validation
#> method: hatvalues
#> criterion: mse
#> cross-validation criterion = 19.248
```

For LOO CV of a linear model, `cv()`

by default uses the
hatvalues from the model fit to the full data for the LOO updates, and
reports only the CV estimate of MSE. Alternative methods are to use the
Woodbury matrix identity or the “naive” approach of literally refitting
the model with each case omitted. All three methods produce exact
results for a linear model (within the precision of floating-point
computations):

```
cv(m.auto, k = "loo", method = "naive")
#> n-Fold Cross Validation
#> method: naive
#> criterion: mse
#> cross-validation criterion = 19.248
#> bias-adjusted cross-validation criterion = 19.248
#> full-sample criterion = 18.985
cv(m.auto, k = "loo", method = "Woodbury")
#> n-Fold Cross Validation
#> method: Woodbury
#> criterion: mse
#> cross-validation criterion = 19.248
#> bias-adjusted cross-validation criterion = 19.248
#> full-sample criterion = 18.985
```

The `"naive"`

and `"Woodbury"`

methods also
return the bias-adjusted estimate of MSE and the full-sample MSE, but
bias isn’t an issue for LOO CV.

The `cv()`

function also has a method that can be applied
to a list of regression models for the same data, composed using the
`models()`

function. For \(k\)-fold CV, the same folds are used for
the competing models, which reduces random error in their comparison.
This result can also be obtained by specifying a common seed for R’s
random-number generator while applying `cv()`

separately to
each model, but employing a list of models is more convenient for both
\(k\)-fold and LOO CV (where there is
no random component to the composition of the \(n\) folds).

We illustrate with the polynomial regression models of varying degree
for the `Auto`

data (discussed previously), beginning by
fitting and saving the 10 models:

```
for (p in 1:10) {
command <- paste0("m.", p, "<- lm(mpg ~ poly(horsepower, ", p,
"), data=Auto)")
eval(parse(text = command))
}
objects(pattern = "m\\.[0-9]")
#> [1] "m.1" "m.10" "m.2" "m.3" "m.4" "m.5" "m.6" "m.7" "m.8" "m.9"
summary(m.2) # for example, the quadratic fit
#>
#> Call:
#> lm(formula = mpg ~ poly(horsepower, 2), data = Auto)
#>
#> Residuals:
#> Min 1Q Median 3Q Max
#> -14.714 -2.594 -0.086 2.287 15.896
#>
#> Coefficients:
#> Estimate Std. Error t value Pr(>|t|)
#> (Intercept) 23.446 0.221 106.1 <2e-16 ***
#> poly(horsepower, 2)1 -120.138 4.374 -27.5 <2e-16 ***
#> poly(horsepower, 2)2 44.090 4.374 10.1 <2e-16 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> Residual standard error: 4.37 on 389 degrees of freedom
#> Multiple R-squared: 0.688, Adjusted R-squared: 0.686
#> F-statistic: 428 on 2 and 389 DF, p-value: <2e-16
```

The convoluted code within the loop to produce the 10 models insures
that the model formulas are of the form, e.g.,
`mpg ~ poly(horsepower, 2)`

rather than
`mpg ~ poly(horsepower, p)`

, which will be useful to us in a
separate vignette, where we consider cross-validating the
model-selection process.

We then apply `cv()`

to the list of 10 models (the
`data`

argument is required):

```
# 10-fold CV
cv.auto.10 <- cv(
models(m.1, m.2, m.3, m.4, m.5,
m.6, m.7, m.8, m.9, m.10),
data = Auto,
seed = 2120
)
cv.auto.10[1:2] # for the linear and quadratic models
#>
#> Model model.1:
#> 10-Fold Cross Validation
#> method: Woodbury
#> cross-validation criterion = 24.246
#> bias-adjusted cross-validation criterion = 24.23
#> full-sample criterion = 23.944
#>
#> Model model.2:
#> 10-Fold Cross Validation
#> method: Woodbury
#> cross-validation criterion = 19.346
#> bias-adjusted cross-validation criterion = 19.327
#> full-sample criterion = 18.985
# LOO CV
cv.auto.loo <- cv(models(m.1, m.2, m.3, m.4, m.5,
m.6, m.7, m.8, m.9, m.10),
data = Auto,
k = "loo")
cv.auto.loo[1:2] # linear and quadratic models
#>
#> Model model.1:
#> n-Fold Cross Validation
#> method: hatvalues
#> cross-validation criterion = 24.232
#> Model model.2:
#> n-Fold Cross Validation
#> method: hatvalues
#> cross-validation criterion = 19.248
```

Because we didn’t supply names for the models in the calls to the
`models()`

function, the names `model.1`

,
`model.2`

, etc., are generated by the function.

Finally, we extract and graph the adjusted MSEs for \(10\)-fold CV and the MSEs for LOO CV (see
the section below on manipulating `"cv"`

objects:

```
cv.mse.10 <- as.data.frame(cv.auto.10,
rows="cv",
columns="criteria"
)$adjusted.criterion
cv.mse.loo <- as.data.frame(cv.auto.loo,
rows="cv",
columns="criteria"
)$criterion
plot(
c(1, 10),
range(cv.mse.10, cv.mse.loo),
type = "n",
xlab = "Degree of polynomial, p",
ylab = "Cross-Validated MSE"
)
lines(
1:10,
cv.mse.10,
lwd = 2,
lty = 1,
col = 2,
pch = 16,
type = "b"
)
lines(
1:10,
cv.mse.loo,
lwd = 2,
lty = 2,
col = 3,
pch = 17,
type = "b"
)
legend(
"topright",
inset = 0.02,
legend = c("10-Fold CV", "LOO CV"),
lwd = 2,
lty = 2:1,
col = 3:2,
pch = 17:16
)
```

Alternatively, we can use the `plot()`

method for
`"cvModList"`

objects to compare the models, though with
separate graphs for 10-fold and LOO CV:

```
plot(cv.auto.10, main="Polynomial Regressions, 10-Fold CV",
axis.args=list(labels=1:10), xlab="Degree of Polynomial, p")
plot(cv.auto.loo, main="Polynomial Regressions, LOO CV",
axis.args=list(labels=1:10), xlab="Degree of Polynomial, p")
```

In this example, 10-fold and LOO CV produce generally similar results, and also results that are similar to those produced by the estimated error variance \(\widehat{\sigma}^2\) for each model, reported above (except for the highest-degree polynomials, where the CV results more clearly suggest over-fitting).

`Mroz`

dataThe `Mroz`

data set from the **carData**
package (associated with Fox & Weisberg,
2019) has been used by several authors to illustrate binary
logistic regression; see, in particular Fox &
Weisberg (2019). The data were originally drawn from the U.S.
Panel Study of Income Dynamics and pertain to married women. Here are a
few cases in the data set:

```
data("Mroz", package = "carData")
head(Mroz, 3)
#> lfp k5 k618 age wc hc lwg inc
#> 1 yes 1 0 32 no no 1.2102 10.91
#> 2 yes 0 2 30 no no 0.3285 19.50
#> 3 yes 1 3 35 no no 1.5141 12.04
tail(Mroz, 3)
#> lfp k5 k618 age wc hc lwg inc
#> 751 no 0 0 43 no no 0.88814 9.952
#> 752 no 0 0 60 no no 1.22497 24.984
#> 753 no 0 3 39 no no 0.85321 28.363
```

The response variable in the logistic regression is `lfp`

,
labor-force participation, a factor coded `"yes"`

or
`"no"`

. The remaining variables are predictors:

`k5`

, number of children 5 years old of younger in the woman’s household;`k618`

, number of children between 6 and 18 years old;`age`

, in years;`wc`

, wife’s college attendance,`"yes"`

or`"no"`

;`hc`

, husband’s college attendance;`lwg`

, the woman’s log wage rate if she is employed, or her*imputed*wage rate, if she is not (a variable that Fox & Weisberg, 2019 show is problematically defined); and`inc`

, family income, in $1000s, exclusive of wife’s income.

We use the `glm()`

function to fit a binary logistic
regression to the `Mroz`

data:

```
m.mroz <- glm(lfp ~ ., data = Mroz, family = binomial)
summary(m.mroz)
#>
#> Call:
#> glm(formula = lfp ~ ., family = binomial, data = Mroz)
#>
#> Coefficients:
#> Estimate Std. Error z value Pr(>|z|)
#> (Intercept) 3.18214 0.64438 4.94 7.9e-07 ***
#> k5 -1.46291 0.19700 -7.43 1.1e-13 ***
#> k618 -0.06457 0.06800 -0.95 0.34234
#> age -0.06287 0.01278 -4.92 8.7e-07 ***
#> wcyes 0.80727 0.22998 3.51 0.00045 ***
#> hcyes 0.11173 0.20604 0.54 0.58762
#> lwg 0.60469 0.15082 4.01 6.1e-05 ***
#> inc -0.03445 0.00821 -4.20 2.7e-05 ***
#> ---
#> Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
#>
#> (Dispersion parameter for binomial family taken to be 1)
#>
#> Null deviance: 1029.75 on 752 degrees of freedom
#> Residual deviance: 905.27 on 745 degrees of freedom
#> AIC: 921.3
#>
#> Number of Fisher Scoring iterations: 4
BayesRule(ifelse(Mroz$lfp == "yes", 1, 0),
fitted(m.mroz, type = "response"))
#> [1] 0.30677
#> attr(,"casewise loss")
#> [1] "y != round(yhat)"
```

In addition to the usually summary output for a GLM, we show the
result of applying the `BayesRule()`

function from the
**cv** package to predictions derived from the fitted
model. Bayes rule, which predicts a “success” in a binary regression
model when the fitted probability of success [i.e., \(\phi = \Pr(y = 1)\)] is \(\widehat{\phi} \ge .5\) and a “failure” if
\(\widehat{\phi} \lt .5\).^{3} The first
argument to `BayesRule()`

is the binary {0, 1} response, and
the second argument is the predicted probability of success.
`BayesRule()`

returns the proportion of predictions that are
*in error*, as appropriate for a “cost” function.

The value returned by `BayesRule()`

is associated with an
“attribute” named `"casewise loss"`

and set to
`"y != round(yhat)"`

, signifying that the Bayes rule CV
criterion is computed as the mean of casewise values, here 0 if the
prediction for a case matches the observed value and 1 if it does not
(signifying a prediction error). The `mse()`

function for
numeric responses is also calculated as a casewise average. Some other
criteria, such as the median absolute error, computed by the
`medAbsErr()`

function in the **cv** package,
aren’t averages of casewise components. The distinction is important
because, to our knowledge, the statistical theory of cross-validation,
for example, in Davison & Hinkley
(1997), Bates, Hastie, & Tibshirani
(2023), and Arlot & Celisse
(2010), is developed for CV criteria like MSE that are means of
casewise components. As a consequence, we limit computation of bias
adjustment and confidence intervals (see below) to criteria that are
casewise averages.

In this example, the fitted logistic regression incorrectly predicts 31% of the responses; we expect this estimate to be optimistic given that the model is used to “predict” the data to which it is fit.

The `"glm"`

method for `cv()`

is largely
similar to the `"lm"`

method, although the default algorithm,
selected explicitly by `method="exact"`

, refits the model
with each fold removed (and is thus equivalent to
`method="naive"`

for `"lm"`

models). For
generalized linear models, `method="Woodbury"`

or (for LOO
CV) `method="hatvalues"`

provide approximate results (see the
computational and technical vignette for details):

```
cv(m.mroz, criterion = BayesRule, seed = 248)
#> R RNG seed set to 248
#> 10-Fold Cross Validation
#> method: exact
#> criterion: BayesRule
#> cross-validation criterion = 0.32404
#> bias-adjusted cross-validation criterion = 0.31952
#> 95% CI for bias-adjusted CV criterion = (0.28607, 0.35297)
#> full-sample criterion = 0.30677
cv(m.mroz,
criterion = BayesRule,
seed = 248,
method = "Woodbury")
#> R RNG seed set to 248
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.32404
#> bias-adjusted cross-validation criterion = 0.31926
#> 95% CI for bias-adjusted CV criterion = (0.28581, 0.35271)
#> full-sample criterion = 0.30677
```

To ensure that the two methods use the same 10 folds, we specify the
seed for R’s random-number generator explicitly; here, and as is common
in our experience, the `"exact"`

and `"Woodbury"`

algorithms produce nearly identical results. The CV estimates of
prediction error are slightly higher than the estimate based on all of
the cases.

The printed output includes a 95% confidence interval for the
bias-adjusted Bayes rule CV criterion. Bates et
al. (2023) show that these confidence intervals are unreliable
for models fit to small samples, and by default `cv()`

computes them only when the sample size is 400 or larger and when the CV
criterion employed is an average of casewise components, as is the case
for Bayes rule. See the final section of the vignette for details of the
computation of confidence intervals for bias-adjusted CV criteria.

Here are results of applying LOO CV to the Mroz model, using both the exact and the approximate methods:

```
cv(m.mroz, k = "loo", criterion = BayesRule)
#> n-Fold Cross Validation
#> method: exact
#> criterion: BayesRule
#> cross-validation criterion = 0.32005
#> bias-adjusted cross-validation criterion = 0.3183
#> 95% CI for bias-adjusted CV criterion = (0.28496, 0.35164)
#> full-sample criterion = 0.30677
cv(m.mroz,
k = "loo",
criterion = BayesRule,
method = "Woodbury")
#> n-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.32005
#> bias-adjusted cross-validation criterion = 0.3183
#> 95% CI for bias-adjusted CV criterion = (0.28496, 0.35164)
#> full-sample criterion = 0.30677
cv(m.mroz,
k = "loo",
criterion = BayesRule,
method = "hatvalues")
#> n-Fold Cross Validation
#> method: hatvalues
#> criterion: BayesRule
#> cross-validation criterion = 0.32005
```

To the number of decimal digits shown, the three methods produce identical results for this example.

Assuming that the number of cases \(n\) is a multiple of the number of folds \(k\)—a slightly simplifying assumption—the number of possible partitions of cases into folds is \(\frac{n!}{[(n/k)!]^k}\), a number that grows very large very quickly. For example, for \(n = 10\) and \(k = 5\), so that the folds are each of size \(n/k = 2\), there are \(113,400\) possible partitions; for \(n=100\) and \(k=5\), where \(n/k = 20\), still a small problem, the number of possible partitions is truly astronomical, \(1.09\times 10^{66}\).

Because the partition into folds that’s employed is selected
randomly, the resulting CV criterion estimates are subject to sampling
error. (An exception is LOO cross-validation, which is not at all
random.) To get a sense of the magnitude of the sampling error, we can
repeat the CV procedure with different randomly selected partitions into
folds. All of the CV functions in the **cv** package are
capable of repeated cross-validation, with the number of repetitions
controlled by the `reps`

argument, which defaults to
`1`

.

Here, for example, is 10-fold CV for the Mroz logistic regression, repeated 5 times:

```
cv(
m.mroz,
criterion = BayesRule,
seed = 248,
reps = 5,
method = "Woodbury"
)
#> R RNG seed set to 248
#> R RNG seed set to 68134
#> R RNG seed set to 767359
#> R RNG seed set to 556270
#> R RNG seed set to 882966
#>
#> Replicate 1:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.32005
#> bias-adjusted cross-validation criterion = 0.31301
#> 95% CI for bias-adjusted CV criterion = (0.27967, 0.34635)
#> full-sample criterion = 0.30677
#>
#> Replicate 2:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.31607
#> bias-adjusted cross-validation criterion = 0.3117
#> 95% CI for bias-adjusted CV criterion = (0.27847, 0.34493)
#> full-sample criterion = 0.30677
#>
#> Replicate 3:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.31474
#> bias-adjusted cross-validation criterion = 0.30862
#> 95% CI for bias-adjusted CV criterion = (0.27543, 0.34181)
#> full-sample criterion = 0.30677
#>
#> Replicate 4:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.32404
#> bias-adjusted cross-validation criterion = 0.31807
#> 95% CI for bias-adjusted CV criterion = (0.28462, 0.35152)
#> full-sample criterion = 0.30677
#>
#> Replicate 5:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.32404
#> bias-adjusted cross-validation criterion = 0.31926
#> 95% CI for bias-adjusted CV criterion = (0.28581, 0.35271)
#> full-sample criterion = 0.30677
#>
#> Average:
#> 10-Fold Cross Validation
#> method: Woodbury
#> criterion: BayesRule
#> cross-validation criterion = 0.31983 (0.003887)
#> bias-adjusted cross-validation criterion = 0.31394 (0.0040093)
#> full-sample criterion = 0.30677
```

When `reps`

> `1`

, the result returned by
`cv()`

is an object of class `"cvList"`

—literally
a list of `"cv"`

objects. The results are reported for each
repetition and then averaged across repetitions, with the standard
deviations of the CV criterion and the biased-adjusted CV criterion
given in parentheses. In this example, there is therefore little
variation across repetitions, increasing our confidence in the
reliability of the results.

Notice that the seed that’s set in the `cv()`

command
pertains to the first repetition and the seeds for the remaining
repetitions are then selected pseudo-randomly.^{4} Setting the first
seed, however, makes the entire process easily replicable, and the seed
for each repetition is stored in the corresponding element of the
`"cvList"`

object (which isn’t, however, saved in the
example).

It’s also possible to replicate CV when comparing competing models
via the `cv()`

method for `"modList"`

objects.
Recall our comparison of polynomial regressions of varying degree fit to
the `Auto`

data; we performed 10-fold CV for each of 10
models. Here, we replicate that process 5 times for each model and graph
the results:

```
cv.auto.reps <- cv(
models(m.1, m.2, m.3, m.4, m.5,
m.6, m.7, m.8, m.9, m.10),
data = Auto,
seed = 8004,
reps = 5
)
plot(cv.auto.reps)
```

The graph shows both the average CV criterion and its range for each of the competing models.

The CV functions in the **cv** package are all capable
of performing parallel computations by setting the `ncores`

argument (specifying the number of computer cores to be used) to a
number > `1`

(which is the default). Parallel computation
can be advantageous for large problems, reducing the execution time of
the program.

To illustrate, let’s time model selection in Mroz’s logistic regression, repeating the computation as performed previously (but with LOO CV to lengthen the calculation) and then doing it in parallel using 2 cores:

```
system.time(
m.mroz.sel.cv <- cv(
selectStepAIC,
Mroz,
k = "loo",
criterion = BayesRule,
working.model = m.mroz,
AIC = FALSE
)
)
#> user system elapsed
#> 21.245 0.000 21.243
system.time(
m.mroz.sel.cv.p <- cv(
selectStepAIC,
Mroz,
k = "loo",
criterion = BayesRule,
working.model = m.mroz,
AIC = FALSE,
ncores = 2
)
)
#> user system elapsed
#> 0.229 0.063 11.419
all.equal(m.mroz.sel.cv, m.mroz.sel.cv.p)
#> [1] TRUE
```

On our computer, the parallel computation with 2 cores is nearly twice as fast, and produces the same result as the non-parallel computation.

Arlot, S., & Celisse, A. (2010). A survey of
cross-validation procedures for model selection. *Statistics
Surveys*, *4*, 40–79. Retrieved from https://doi.org/10.1214/09-SS054

Bates, S., Hastie, T., & Tibshirani, R. (2023). Cross-validation:
What does it estimate and how well does it do it? *Journal of the
American Statistical Association*, *in press*. Retrieved from
https://doi.org/10.1080/01621459.2023.2197686

Canty, A., & Ripley, B. D. (2022). *Boot: Bootstrap
R (S-plus) functions*.

Davison, A. C., & Hinkley, D. V. (1997). *Bootstrap methods and
their applications*. Cambridge: Cambridge University Press.

Fox, J., & Weisberg, S. (2019). *An R companion to
applied regression* (Third edition). Thousand Oaks CA:
Sage.

Hager, W. W. (1989). Updating the inverse of a matrix.
*SIAM Review*, *31*(2), 221–239.

Harrell, F., Jr. (2015). *Regression modeling strategies* (Second
edition). New York: Springer.

James, G., Witten, D., Hastie, T., & Tibshirani, R. (2021). *An
introduction to statistical learning with applications in
R* (Second edition). New York: Springer.

James et al. (2021) use the

`cv.glm()`

function in the**boot**package (Canty & Ripley, 2022; Davison & Hinkley, 1997). Despite its name,`cv.glm()`

is an independent function and not a method of a`cv()`

generic function.↩︎Although it serves to illustrate the use of CV, a polynomial is probably not the best choice here. Consider, for example the scatterplot for log-transformed

`mpg`

and`horsepower`

, produced by`plot(mpg ~ horsepower, data=Auto, log="xy")`

(execution of which is left to the reader).↩︎`BayesRule()`

does some error checking;`BayesRule2()`

is similar, but omits the error checking, and so can be faster for large problems.↩︎Because of the manner in which the computation is performed, the order of the replicates in the

`"cvList"`

object returned by`cv()`

isn’t the same as the order in which the replicates are computed. Each element of the result, however, is a`"cv"`

object with the correct random-number seed saved, and so this technical detail can be safely ignored. The individual`"cv"`

objects are printed in the order in which they are stored rather than the order in which they are computed.↩︎These

`as.data.frame()`

methods were created at the suggestion of Michael Friendly of York University as a mechanism for making the output of the various`cv()`

methods more accessible to the user.↩︎