Is K-fold cross validation the best model selection method for Machine
  Learning?
Juan M Gorriz F Segovia J Ramirez A Ortiz J. Suckling
As a technique that can compactly represent complex patterns, machine
learning has significant potential for predictive inference. K-fold
cross-validation (CV) is the most common approach to ascertaining the
likelihood that a machine learning outcome is generated by chance and
frequently outperforms conventional hypothesis testing. This improvement uses
measures directly obtained from machine learning classifications, such as
accuracy, that do not have a parametric description. To approach a frequentist
analysis within machine learning pipelines, a permutation test or simple
statistics from data partitions (i.e. folds) can be added to estimate
confidence intervals. Unfortunately, neither parametric nor non-parametric
tests solve the inherent problems around partitioning small sample-size
datasets and learning from heterogeneous data sources. The fact that machine
learning strongly depends on the learning parameters and the distribution of
data across folds recapitulates familiar difficulties around excess false
positives and replication. The origins of this problem are demonstrated by
simulating common experimental circumstances, including small sample sizes, low
numbers of predictors, and heterogeneous data sources. A novel statistical test
based on K-fold CV and the Upper Bound of the actual error (K-fold CUBV) is
composed, where uncertain predictions of machine learning with CV are bounded
by the \emph{worst case} through the evaluation of concentration inequalities.
Probably Approximately Correct-Bayesian upper bounds for linear classifiers in
combination with K-fold CV is used to estimate the empirical error. The
performance with neuroimaging datasets suggests this is a robust criterion for
detecting effects, validating accuracy values obtained from machine learning
whilst avoiding excess false positives.