Cross-validation and the Bootstrap

• In the section we discuss two resampling methods:

cross-validation and the bootstrap.

1 / 44
 Cross-validation and the Bootstrap

• In the section we discuss two resampling methods:

cross-validation and the bootstrap.
• These methods refit a model of interest to samples formed
from the training set, in order to obtain additional
information about the fitted model.

1 / 44
 Cross-validation and the Bootstrap

• In the section we discuss two resampling methods:

cross-validation and the bootstrap.
• These methods refit a model of interest to samples formed
from the training set, in order to obtain additional
information about the fitted model.
• For example, they provide estimates of test-set prediction
error, and the standard deviation and bias of our
parameter estimates

1 / 44
 Training Error versus Test error

• Recall the distinction between the test error and the

training error:
• The test error is the average error that results from using a
statistical learning method to predict the response on a new
observation, one that was not used in training the method.
• In contrast, the training error can be easily calculated by
applying the statistical learning method to the observations
used in its training.
• But the training error rate often is quite different from the
test error rate, and in particular the former can
dramatically underestimate the latter.

2 / 44
 Training- versus Test-Set Performance

High Bias Low Bias

Low Variance High Variance

Prediction Error

Test Sample

Training Sample

Low High

Model Complexity

3 / 44
 More on prediction-error estimates

• Best solution: a large designated test set. Often not

available
• Some methods make a mathematical adjustment to the
training error rate in order to estimate the test error rate.
These include the Cp statistic, AIC and BIC. They are
discussed elsewhere in this course
• Here we instead consider a class of methods that estimate
the test error by holding out a subset of the training
observations from the fitting process, and then applying the
statistical learning method to those held out observations

4 / 44
 Validation-set approach

• Here we randomly divide the available set of samples into

two parts: a training set and a validation or hold-out set.
• The model is fit on the training set, and the fitted model is
used to predict the responses for the observations in the
validation set.
• The resulting validation-set error provides an estimate of
the test error. This is typically assessed using MSE in the
case of a quantitative response and misclassification rate in
the case of a qualitative (discrete) response.

5 / 44
 The Validation process

!"!#!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!$!

%!!""!! #!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!& !

A random splitting into two halves: left part is training set,

right part is validation set

6 / 44
 Example: automobile data
• Want to compare linear vs higher-order polynomial terms
in a linear regression
• We randomly split the 392 observations into two sets, a
training set containing 196 of the data points, and a
validation set containing the remaining 196 observations.
28

28
Mean Squared Error

Mean Squared Error

26

26
24

24
22

22
20

20
18

18
16

16

2 4 6 8 10 2 4 6 8 10

Degree of Polynomial Degree of Polynomial

Left panel shows single split; right panel shows multiple splits
7 / 44
 Drawbacks of validation set approach

• the validation estimate of the test error can be highly

variable, depending on precisely which observations are
included in the training set and which observations are
included in the validation set.
• In the validation approach, only a subset of the
observations — those that are included in the training set
rather than in the validation set — are used to fit the
model.
• This suggests that the validation set error may tend to
overestimate the test error for the model fit on the entire
data set.

8 / 44
 Drawbacks of validation set approach

• the validation estimate of the test error can be highly

variable, depending on precisely which observations are
included in the training set and which observations are
included in the validation set.
• In the validation approach, only a subset of the
observations — those that are included in the training set
rather than in the validation set — are used to fit the
model.
• This suggests that the validation set error may tend to
overestimate the test error for the model fit on the entire
data set. Why?

8 / 44
 K-fold Cross-validation

• Widely used approach for estimating test error.

• Estimates can be used to select best model, and to give an
idea of the test error of the final chosen model.
• Idea is to randomly divide the data into K equal-sized
parts. We leave out part k, fit the model to the other
K − 1 parts (combined), and then obtain predictions for
the left-out kth part.
• This is done in turn for each part k = 1, 2, . . . K, and then
the results are combined.

9 / 44
 K-fold Cross-validation in detail

Divide data into K roughly equal-sized parts (K = 5 here)

1 2 3 4 5

Validation Train Train Train Train

10 / 44
 The details

• Let the K parts be C1 , C2 , . . . CK , where Ck denotes the

indices of the observations in part k. There are nk
observations in part k: if N is a multiple of K, then
nk = n/K.
• Compute
K
X nk
CV(K) = MSEk
n
k=1

where MSEk = i∈Ck (yi − ŷi )2 /nk , and ŷi is the fit for
P
observation i, obtained from the data with part k removed.

11 / 44
 The details

• Let the K parts be C1 , C2 , . . . CK , where Ck denotes the

indices of the observations in part k. There are nk
observations in part k: if N is a multiple of K, then
nk = n/K.
• Compute
K
X nk
CV(K) = MSEk
n
k=1

where MSEk = i∈Ck (yi − ŷi )2 /nk , and ŷi is the fit for
P
observation i, obtained from the data with part k removed.
• Setting K = n yields n-fold or leave-one out
cross-validation (LOOCV).

11 / 44
 A nice special case!
• With least-squares linear or polynomial regression, an
amazing shortcut makes the cost of LOOCV the same as
that of a single model fit! The following formula holds:
n  2
1X yi − ŷi
CV(n) = ,
n 1 − hi
i=1

where ŷi is the ith fitted value from the original least
squares fit, and hi is the leverage (diagonal of the “hat”
matrix; see book for details.) This is like the ordinary
MSE, except the ith residual is divided by 1 − hi .

12 / 44
 A nice special case!
• With least-squares linear or polynomial regression, an
amazing shortcut makes the cost of LOOCV the same as
that of a single model fit! The following formula holds:
n  2
1X yi − ŷi
CV(n) = ,
n 1 − hi
i=1

where ŷi is the ith fitted value from the original least
squares fit, and hi is the leverage (diagonal of the “hat”
matrix; see book for details.) This is like the ordinary
MSE, except the ith residual is divided by 1 − hi .
• LOOCV sometimes useful, but typically doesn’t shake up
the data enough. The estimates from each fold are highly
correlated and hence their average can have high variance.
• a better choice is K = 5 or 10.
12 / 44
 Auto data revisited

LOOCV 10−fold CV
28

28
Mean Squared Error

Mean Squared Error

26

26
24

24
22

22
20

20
18

18
16

16
2 4 6 8 10 2 4 6 8 10

Degree of Polynomial Degree of Polynomial

13 / 44
True and estimated test MSE for the simulated data
3.0

3.0

20
2.5

2.5

15
Mean Squared Error

Mean Squared Error

Mean Squared Error

2.0

2.0
1.5

1.5

10
1.0

1.0

5
0.5

0.5
0.0

0.0

0
2 5 10 20 2 5 10 20 2 5 10 20

Flexibility Flexibility Flexibility

14 / 44
 Other issues with Cross-validation

• Since each training set is only (K − 1)/K as big as the

original training set, the estimates of prediction error will
typically be biased upward.

15 / 44
 Other issues with Cross-validation

• Since each training set is only (K − 1)/K as big as the

original training set, the estimates of prediction error will
typically be biased upward. Why?

15 / 44
 Other issues with Cross-validation

• Since each training set is only (K − 1)/K as big as the

original training set, the estimates of prediction error will
typically be biased upward. Why?
• This bias is minimized when K = n (LOOCV), but this
estimate has high variance, as noted earlier.
• K = 5 or 10 provides a good compromise for this
bias-variance tradeoff.

15 / 44
 Cross-Validation for Classification Problems
• We divide the data into K roughly equal-sized parts
C1 , C2 , . . . CK . Ck denotes the indices of the observations
in part k. There are nk observations in part k: if n is a
multiple of K, then nk = n/K.
• Compute
K
X nk
CVK = Errk
n
k=1
P
where Errk = i∈Ck I(yi 6= ŷi )/nk .
• The estimated standard deviation of CVK is
v
u K
u1 X (Errk − Errk )2
SE(CVK ) =
c t
K K −1
k=1

• This is a useful estimate, but strictly speaking, not quite

valid.
16 / 44
 Cross-Validation for Classification Problems
• We divide the data into K roughly equal-sized parts
C1 , C2 , . . . CK . Ck denotes the indices of the observations
in part k. There are nk observations in part k: if n is a
multiple of K, then nk = n/K.
• Compute
K
X nk
CVK = Errk
n
k=1
P
where Errk = i∈Ck I(yi 6= ŷi )/nk .
• The estimated standard deviation of CVK is
v
u K
u1 X (Errk − Errk )2
SE(CVK ) =
c t
K K −1
k=1

• This is a useful estimate, but strictly speaking, not quite

valid. Why not?
16 / 44
 Cross-validation: right and wrong

• Consider a simple classifier applied to some two-class data:

1. Starting with 5000 predictors and 50 samples, find the 100
predictors having the largest correlation with the class
labels.
2. We then apply a classifier such as logistic regression, using
only these 100 predictors.

How do we estimate the test set performance of this

classifier?

17 / 44
 Cross-validation: right and wrong

• Consider a simple classifier applied to some two-class data:

1. Starting with 5000 predictors and 50 samples, find the 100
predictors having the largest correlation with the class
labels.
2. We then apply a classifier such as logistic regression, using
only these 100 predictors.

How do we estimate the test set performance of this

classifier?
Can we apply cross-validation in step 2, forgetting about
step 1?

17 / 44
 NO!

• This would ignore the fact that in Step 1, the procedure

has already seen the labels of the training data, and made
use of them. This is a form of training and must be
included in the validation process.
• It is easy to simulate realistic data with the class labels
independent of the outcome, so that true test error =50%,
but the CV error estimate that ignores Step 1 is zero!

18 / 44
 NO!

• This would ignore the fact that in Step 1, the procedure

has already seen the labels of the training data, and made
use of them. This is a form of training and must be
included in the validation process.
• It is easy to simulate realistic data with the class labels
independent of the outcome, so that true test error =50%,
but the CV error estimate that ignores Step 1 is zero!
Try to do this yourself

18 / 44
 NO!

• This would ignore the fact that in Step 1, the procedure

has already seen the labels of the training data, and made
use of them. This is a form of training and must be
included in the validation process.
• It is easy to simulate realistic data with the class labels
independent of the outcome, so that true test error =50%,
but the CV error estimate that ignores Step 1 is zero!
Try to do this yourself
• We have seen this error made in many high profile
genomics papers.

18 / 44
 The Wrong and Right Way

• Wrong: Apply cross-validation in step 2.

• Right: Apply cross-validation to steps 1 and 2.

19 / 44
 Wrong Way

Selected set Predictors Outcome

of predictors

Samples
CV folds

20 / 44
 Right Way

Selected set Outcome

of predictors Predictors

Samples CV folds

21 / 44
 The Bootstrap

• The bootstrap is a flexible and powerful statistical tool that

can be used to quantify the uncertainty associated with a
given estimator or statistical learning method.
• For example, it can provide an estimate of the standard
error of a coefficient, or a confidence interval for that
coefficient.

22 / 44
 Where does the name came from?

• The use of the term bootstrap derives from the phrase to

pull oneself up by one’s bootstraps, widely thought to be
based on one of the eighteenth century “The Surprising
Adventures of Baron Munchausen” by Rudolph Erich
Raspe:
The Baron had fallen to the bottom of a deep lake. Just
when it looked like all was lost, he thought to pick himself
up by his own bootstraps.
• It is not the same as the term “bootstrap” used in
computer science meaning to “boot” a computer from a set
of core instructions, though the derivation is similar.

23 / 44
 A simple example
• Suppose that we wish to invest a fixed sum of money in
two financial assets that yield returns of X and Y ,
respectively, where X and Y are random quantities.
• We will invest a fraction α of our money in X, and will
invest the remaining 1 − α in Y .
• We wish to choose α to minimize the total risk, or
variance, of our investment. In other words, we want to
minimize Var(αX + (1 − α)Y ).

24 / 44
 A simple example
• Suppose that we wish to invest a fixed sum of money in
two financial assets that yield returns of X and Y ,
respectively, where X and Y are random quantities.
• We will invest a fraction α of our money in X, and will
invest the remaining 1 − α in Y .
• We wish to choose α to minimize the total risk, or
variance, of our investment. In other words, we want to
minimize Var(αX + (1 − α)Y ).
• One can show that the value that minimizes the risk is
given by
σY2 − σXY
α= 2 ,
σX + σY2 − 2σXY
2 = Var(X), σ 2 = Var(Y ), and σ
where σX Y XY = Cov(X, Y ).

24 / 44
 Example continued

2 , σ 2 , and σ
• But the values of σX Y XY are unknown.
• We can compute estimates for these quantities, σ̂X2 , σ̂ 2 ,
Y
and σ̂XY , using a data set that contains measurements for
X and Y .
• We can then estimate the value of α that minimizes the
variance of our investment using

σ̂Y2 − σ̂XY
α̂ = 2 + σ̂ 2 − 2σ̂ .
σ̂X Y XY

25 / 44
 Example continued

2
2

1
1
0
Y

Y
0
−1

−1
−2

−2
−2 −1 0 1 2 −2 −1 0 1 2

X X
2

2
1

1
0
0
Y

Y
−1
−1

−2
−2

−3
−3

−3 −2 −1 0 1 2 −2 −1 0 1 2 3

X X

Each panel displays 100 simulated returns for investments X

and Y . From left to right and top to bottom, the resulting
estimates for α are 0.576, 0.532, 0.657, and 0.651.
26 / 44
 Example continued

• To estimate the standard deviation of α̂, we repeated the

process of simulating 100 paired observations of X and Y ,
and estimating α 1,000 times.
• We thereby obtained 1,000 estimates for α, which we can
call α̂1 , α̂2 , . . . , α̂1000 .
• The left-hand panel of the Figure on slide 29 displays a
histogram of the resulting estimates.
• For these simulations the parameters were set to
2 = 1, σ 2 = 1.25, and σ
σX Y XY = 0.5, and so we know that
the true value of α is 0.6 (indicated by the red line).

27 / 44
 Example continued
• The mean over all 1,000 estimates for α is
1000
1 X
ᾱ = α̂r = 0.5996,
1000
r=1

very close to α = 0.6, and the standard deviation of the

estimates is
v
u 1000
1
(α̂r − ᾱ)2 = 0.083.
u X
t
1000 − 1
r=1

• This gives us a very good idea of the accuracy of α̂:

SE(α̂) ≈ 0.083.
• So roughly speaking, for a random sample from the
population, we would expect α̂ to differ from α by
approximately 0.08, on average.
28 / 44
 Results

0.9
200
200

0.8
150
150

0.7
0.6
α
100
100

0.5
50
50

0.4
0

0.3
0.4 0.5 0.6 0.7 0.8 0.9 0.3 0.4 0.5 0.6 0.7 0.8 0.9 True Bootstrap

α α

Left: A histogram of the estimates of α obtained by generating

1,000 simulated data sets from the true population. Center: A
histogram of the estimates of α obtained from 1,000 bootstrap
samples from a single data set. Right: The estimates of α
displayed in the left and center panels are shown as boxplots. In
each panel, the pink line indicates the true value of α.
29 / 44
 Now back to the real world
• The procedure outlined above cannot be applied, because
for real data we cannot generate new samples from the
original population.
• However, the bootstrap approach allows us to use a
computer to mimic the process of obtaining new data sets,
so that we can estimate the variability of our estimate
without generating additional samples.
• Rather than repeatedly obtaining independent data sets
from the population, we instead obtain distinct data sets
by repeatedly sampling observations from the original data
set with replacement.
• Each of these “bootstrap data sets” is created by sampling
with replacement, and is the same size as our original
dataset. As a result some observations may appear more
than once in a given bootstrap data set and some not at all.
30 / 44
 Example with just 3 observations
Obs X Y

3 5.3 2.8
α̂ *1
1 4.3 2.4
*1
Z 3 5.3 2.8

Obs X Y
Obs X Y
*2 2 2.1 1.1
1 4.3 2.4 Z
!!
3 5.3 2.8 α̂ *2
2 2.1 1.1
!! 1 4.3 2.4 !!
3 5.3 2.8 !!
!! !!
!! !! !!
*B !!
Original Data (Z) !Z !!
!!
Obs X Y
α̂ *B
2 2.1 1.1
2 2.1 1.1
1 4.3 2.4

A graphical illustration of the bootstrap approach on a small

sample containing n = 3 observations. Each bootstrap data set
contains n observations, sampled with replacement from the
original data set. Each bootstrap data set is used to obtain an
estimate of α
31 / 44
• Denoting the first bootstrap data set by Z ∗1 , we use Z ∗1 to
produce a new bootstrap estimate for α, which we call α̂∗1
• This procedure is repeated B times for some large value of
B (say 100 or 1000), in order to produce B different
bootstrap data sets, Z ∗1 , Z ∗2 , . . . , Z ∗B , and B
corresponding α estimates, α̂∗1 , α̂∗2 , . . . , α̂∗B .
• We estimate the standard error of these bootstrap
estimates using the formula
v
u
u 1 X B
¯∗ 2.
α̂∗r − α̂


SEB (α̂) = t
B−1
r=1

• This serves as an estimate of the standard error of α̂

estimated from the original data set. See center and right
panels of Figure on slide 29. Bootstrap results are in blue.
For this example SEB (α̂) = 0.087.
32 / 44
 A general picture for the bootstrap

Real World Bootstrap World

Random Bootstrap
Random Sampling
Sampling Data dataset
Estimated P̂ Z ∗ = (z1∗ , z2∗ , . . . zn∗ )
Population P Z = (z1 , z2 , . . . zn ) Population

Bootstrap
f (Z ∗ )
Estimate f (Z) Estimate

33 / 44
 The bootstrap in general

• In more complex data situations, figuring out the

appropriate way to generate bootstrap samples can require
some thought.
• For example, if the data is a time series, we can’t simply
sample the observations with replacement (why not?).

34 / 44
 The bootstrap in general

• In more complex data situations, figuring out the

appropriate way to generate bootstrap samples can require
some thought.
• For example, if the data is a time series, we can’t simply
sample the observations with replacement (why not?).
• We can instead create blocks of consecutive observations,
and sample those with replacements. Then we paste
together sampled blocks to obtain a bootstrap dataset.

34 / 44
 Other uses of the bootstrap

• Primarily used to obtain standard errors of an estimate.

• Also provides approximate confidence intervals for a
population parameter. For example, looking at the
histogram in the middle panel of the Figure on slide 29, the
5% and 95% quantiles of the 1000 values is (.43, .72).
• This represents an approximate 90% confidence interval for
the true α.

35 / 44
 Other uses of the bootstrap

• Primarily used to obtain standard errors of an estimate.

• Also provides approximate confidence intervals for a
population parameter. For example, looking at the
histogram in the middle panel of the Figure on slide 29, the
5% and 95% quantiles of the 1000 values is (.43, .72).
• This represents an approximate 90% confidence interval for
the true α. How do we interpret this confidence interval?

35 / 44
 Other uses of the bootstrap

• Primarily used to obtain standard errors of an estimate.

• Also provides approximate confidence intervals for a
population parameter. For example, looking at the
histogram in the middle panel of the Figure on slide 29, the
5% and 95% quantiles of the 1000 values is (.43, .72).
• This represents an approximate 90% confidence interval for
the true α. How do we interpret this confidence interval?
• The above interval is called a Bootstrap Percentile
confidence interval. It is the simplest method (among many
approaches) for obtaining a confidence interval from the
bootstrap.

35 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success.

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?
• To estimate prediction error using the bootstrap, we could
think about using each bootstrap dataset as our training
sample, and the original sample as our validation sample.
• But each bootstrap sample has significant overlap with the
original data. About two-thirds of the original data points
appear in each bootstrap sample.

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?
• To estimate prediction error using the bootstrap, we could
think about using each bootstrap dataset as our training
sample, and the original sample as our validation sample.
• But each bootstrap sample has significant overlap with the
original data. About two-thirds of the original data points
appear in each bootstrap sample. Can you prove this?

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?
• To estimate prediction error using the bootstrap, we could
think about using each bootstrap dataset as our training
sample, and the original sample as our validation sample.
• But each bootstrap sample has significant overlap with the
original data. About two-thirds of the original data points
appear in each bootstrap sample. Can you prove this?
• This will cause the bootstrap to seriously underestimate
the true prediction error.

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?
• To estimate prediction error using the bootstrap, we could
think about using each bootstrap dataset as our training
sample, and the original sample as our validation sample.
• But each bootstrap sample has significant overlap with the
original data. About two-thirds of the original data points
appear in each bootstrap sample. Can you prove this?
• This will cause the bootstrap to seriously underestimate
the true prediction error. Why?

36 / 44
Can the bootstrap estimate prediction error?

• In cross-validation, each of the K validation folds is

distinct from the other K − 1 folds used for training: there
is no overlap. This is crucial for its success. Why?
• To estimate prediction error using the bootstrap, we could
think about using each bootstrap dataset as our training
sample, and the original sample as our validation sample.
• But each bootstrap sample has significant overlap with the
original data. About two-thirds of the original data points
appear in each bootstrap sample. Can you prove this?
• This will cause the bootstrap to seriously underestimate
the true prediction error. Why?
• The other way around— with original sample = training
sample, bootstrap dataset = validation sample— is worse!

36 / 44
 Removing the overlap

• Can partly fix this problem by only using predictions for

those observations that did not (by chance) occur in the
current bootstrap sample.
• But the method gets complicated, and in the end,
cross-validation provides a simpler, more attractive
approach for estimating prediction error.

37 / 44
 Pre-validation

• In microarray and other genomic studies, an important

problem is to compare a predictor of disease outcome
derived from a large number of “biomarkers” to standard
clinical predictors.
• Comparing them on the same dataset that was used to
derive the biomarker predictor can lead to results strongly
biased in favor of the biomarker predictor.

38 / 44
 Pre-validation

• In microarray and other genomic studies, an important

problem is to compare a predictor of disease outcome
derived from a large number of “biomarkers” to standard
clinical predictors.
• Comparing them on the same dataset that was used to
derive the biomarker predictor can lead to results strongly
biased in favor of the biomarker predictor.
• Pre-validation can be used to make a fairer comparison
between the two sets of predictors.

38 / 44
 Motivating example

An example of this problem arose in the paper of van’t Veer et

al. Nature (2002). Their microarray data has 4918 genes
measured over 78 cases, taken from a study of breast cancer.
There are 44 cases in the good prognosis group and 34 in the
poor prognosis group. A “microarray” predictor was
constructed as follows:
1. 70 genes were selected, having largest absolute correlation
with the 78 class labels.
2. Using these 70 genes, a nearest-centroid classifier C(x) was
constructed.
3. Applying the classifier to the 78 microarrays gave a
dichotomous predictor zi = C(xi ) for each case i.

39 / 44
 Results
Comparison of the microarray predictor with some clinical
predictors, using logistic regression with outcome prognosis:
Model Coef Stand. Err. Z score p-value
Re-use
microarray 4.096 1.092 3.753 0.000
angio 1.208 0.816 1.482 0.069
er -0.554 1.044 -0.530 0.298
grade -0.697 1.003 -0.695 0.243
pr 1.214 1.057 1.149 0.125
age -1.593 0.911 -1.748 0.040
size 1.483 0.732 2.026 0.021

Pre-validated
microarray 1.549 0.675 2.296 0.011
angio 1.589 0.682 2.329 0.010
er -0.617 0.894 -0.690 0.245
grade 0.719 0.720 0.999 0.159
pr 0.537 0.863 0.622 0.267
age -1.471 0.701 -2.099 0.018
size 0.998 0.594 1.681 0.046

40 / 44
 Idea behind Pre-validation

• Designed for comparison of adaptively derived predictors to

fixed, pre-defined predictors.
• The idea is to form a “pre-validated” version of the
adaptive predictor: specifically, a “fairer” version that
hasn’t “seen” the response y.

41 / 44
 Pre-validation process
Omitted data

Pre−validated
Predictor Response
Predictors

Observations

Logistic Regression

Fixed
predictors

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 Pre-validation in detail for this example

1. Divide the cases up into K = 13 equal-sized parts of 6

cases each.
2. Set aside one of parts. Using only the data from the other
12 parts, select the features having absolute correlation at
least .3 with the class labels, and form a nearest centroid
classification rule.
3. Use the rule to predict the class labels for the 13th part
4. Do steps 2 and 3 for each of the 13 parts, yielding a
“pre-validated” microarray predictor z̃i for each of the 78
cases.
5. Fit a logistic regression model to the pre-validated
microarray predictor and the 6 clinical predictors.

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 The Bootstrap versus Permutation tests

• The bootstrap samples from the estimated population, and

uses the results to estimate standard errors and confidence
intervals.
• Permutation methods sample from an estimated null
distribution for the data, and use this to estimate p-values
and False Discovery Rates for hypothesis tests.
• The bootstrap can be used to test a null hypothesis in
simple situations. Eg if θ = 0 is the null hypothesis, we
check whether the confidence interval for θ contains zero.
• Can also adapt the bootstrap to sample from a null
distribution (See Efron and Tibshirani book “An
Introduction to the Bootstrap” (1993), chapter 16) but
there’s no real advantage over permutations.

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