Estimation Stability With Cross-Validation (ESCV)

Cross-validation (CV) is often used to select the regularization parameter in high-dimensional problems. However, when applied to the sparse modeling method Lasso, CV leads to models that are unstable in high-dimensions, and consequently not suited for reliable interpretation. In this article, we propose a model-free criterion ESCV based on a new estimation stability (ES) metric and CV. Our proposed ESCV finds a smaller and locally ES-optimal model smaller than the CV choice so that it fits the data and also enjoys estimation stability property. We demonstrate that ESCV is an effective alternative to CV at a similar easily parallelizable computational cost. In particular, we compare the two approaches with respect to several performance measures when applied to the Lasso on both simulated and real datasets. For dependent predictors common in practice, our main finding is that ESCV cuts down false positive rates often by a large margin, while sacrificing little of true positive rates. ESCV usually outperforms CV in terms of parameter estimation while giving similar performance as CV in terms of prediction. For the two real datasets from neuroscience and cell biology, the models found by ESCV are less than half of the model sizes by CV, but preserves CV's predictive performance and corroborates with subject knowledge and independent work. We also discuss some regularization parameter alignment issues that come up in both approaches. Supplementary materials are available online.