Approximate Leave-one-out Cross Validation for Regression with ${\ell }_1$ Regularizers (extended version)

Arnab Auddy, Haolin Zou, Kamiar Rahnama Rad +1

The out-of-sample error (OO) is the main quantity of interest in risk estimation and model selection. Leave-one-out cross validation (LO) offers a (nearly) distribution-free yet co…