Nested Cross-Validation

An Introduction, Overview, and scikit-learn Example

Nested cross-validation can be viewed as an extension of simpler cross-validation techniques. When performing model selection or model evaluation, $k$-fold cross-validation is a crucial method for estimating a particular model’s test error on unseen observations. However, as Cawley and Talbot discussed in a 2010 paper, when performing model selection and... [Read More]