Estimating Subagging by cross-validation (1011.5142v1)

Abstract: In this article, we derive concentration inequalities for the cross-validation estimate of the generalization error for subagged estimators, both for classification and regressor. General loss functions and class of predictors with both finite and infinite VC-dimension are considered. We slightly generalize the formalism introduced by \cite{DUD03} to cover a large variety of cross-validation procedures including leave-one-out cross-validation, $k$-fold cross-validation, hold-out cross-validation (or split sample), and the leave-$\upsilon$-out cross-validation. \bigskip \noindent An interesting consequence is that the probability upper bound is bounded by the minimum of a Hoeffding-type bound and a Vapnik-type bounds, and thus is smaller than 1 even for small learning set. Finally, we give a simple rule on how to subbag the predictor. \bigskip