[PYTHON] Evaluate the performance of a simple regression model using LeaveOneOut cross-validation

Introduction

When we analyzed using a small amount of data, we used LeaveOneOut cross-validation as a model evaluation method, so we will share it.

LeaveOneOut cross-validation trains and tests n samples of data, using one sample as test data and the other as train data. Then, while exchanging the test data, this is repeated n times to evaluate the performance of the model. Speaking of k-validation, k is the same value as n samples of data volume. It seems to be used when the amount of data is small.

Below, we will evaluate simple regression using the LOO method.

code

There is a certain DataFrame, and the explanatory variable used for simple regression is specified by loo_column. Suppose the DataFrame's mokuteki contains an objective variable. It trains n times while exchanging data, and finally calculates and returns RootMeanSquaredError. Statsmodels is used for simple regression.

loo.py

from sklearn.model_selection import LeaveOneOut
from statsmodels import api as sm

loo_column = "setsumei"

def loo_rmse(df,loo_column):
    loo_X = df[loo_column]
    
    #Create a simple regression constant term.
    loo_X = sm.add_constant(loo_X)
    loo_y = df_analytics["recognition"]

    loo = LeaveOneOut()
    loo.get_n_splits(loo_X)

    # square_List to save errors
    se_list = list()
    
    #Repeat the data while exchanging the indexes of the data used for train and test
    for train_index, test_index in loo.split(loo_X):
        X_train, X_test = loo_X.iloc[train_index], loo_X.iloc[test_index]
        y_train, y_test = loo_y.iloc[train_index], loo_y.iloc[test_index]
        
        #Simple regression learning
        model = sm.OLS(y_train,X_train)
        result = model.fit()
        
        #Prediction for test data based on learning results. Get the error.
        pred = result.params["const"] + result.params[loo_column] * X_test[loo_column].values[0]
        diff = pred - y_test.values[0]
        
        #Square the error and save
        se_list.append(diff**2)

    #Average the squared error, take the route and return
    ar = np.array(se_list)
    print("RMSE:",np.sqrt(ar.mean()))

reference

http://scikit-learn.org/stable/modules/generated/sklearn.model_selection.LeaveOneOut.html

Thank you very much.