This was part of
Bayesian Statistics and Statistical Learning
Bias and Variance of Bayes Cross Validation in Singular Learning Theory
Sumio Watanabe, Tokyo Institute of Technology
Monday, December 11, 2023
Abstract: Cross validation is widely employed to check a statistical model and a prior distribution, however, it is known that cross validation error has an inverse correlation with the generalization error even if a posterior distribution is in a singular state. In this talk, I will discuss bias and variance of Bayes cross validation and show that there is a more accurate method for estimating generalization error than leave-one-out cross validation. Several experimental results are demonstrated.