Fast calculation of Gaussian process multiple-fold cross-validation residuals and their covariances

Abstract–

We generalize fast Gaussian process leave-one-out formulae to multiple-fold cross-validation, highlighting in turn the covariance structure of cross-validation residuals in simple and universal kriging frameworks. We illustrate how resulting covariances affect model diagnostics. We further establish in the case of noiseless observations that correcting for covariances between residuals in cross-validation-based estimation of the scale parameter leads back to maximum likelihood estimation. Also, we highlight in broader settings how differences between pseudo-likelihood and likelihood methods boil down to accounting or not for residual covariances. The proposed fast calculation of cross-validation residuals is implemented and benchmarked against a naive implementation, all in R. Numerical experiments highlight the substantial speed-ups that our approach enables. However, as supported by a discussion on main drivers of computational costs and by a numerical benchmark, speed-ups steeply decline as the number of folds (say, all sharing the same size) decreases. An application to a contaminant localization test case illustrates that the way of grouping observations in folds may affect model assessment and parameter fitting compared to leave-one-out. Overall, our results enable fast multiple-fold cross-validation, have consequences in model diagnostics, and pave the way to future work on hyperparameter fitting as well as on goal-oriented fold design.

Disclaimer

As a service to authors and researchers we are providing this version of an accepted manuscript (AM). Copyediting, typesetting, and review of the resulting proofs will be undertaken on this manuscript before final publication of the Version of Record (VoR). During production and pre-press, errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal relate to these versions also.