Cross-Validation with Confidence

Cross-validation is one of the most popular model selection methods in statistics and machine learning. Despite its wide applicability, traditional cross validation methods tend to select overfitting models, due to the ignorance of the uncertainty in the testing sample. We develop a new, statistically principled inference tool based on cross-validation that takes into account the uncertainty in the testing sample. This new method outputs a set of highly competitive candidate models containing the best one with guaranteed probability. As a consequence, our method can achieve consistent variable selection in a classical linear regression setting, for which existing cross-validation methods require unconventional split ratios. When used for regularizing tuning parameter selection, the method can provide a further trade-off between prediction accuracy and model interpretability. We demonstrate the performance of the proposed method in several simulated and real data examples.