Evaluating machine learning models in non-standard settings: An overview
  and new findings
Roman Hornung Malte Nalenz Lennart Schneider Andreas Bender Ludwig Bothmann Bernd Bischl Thomas Augustin Anne-Laure Boulesteix
Estimating the generalization error (GE) of machine learning models is
fundamental, with resampling methods being the most common approach. However,
in non-standard settings, particularly those where observations are not
independently and identically distributed, resampling using simple random data
divisions may lead to biased GE estimates. This paper strives to present
well-grounded guidelines for GE estimation in various such non-standard
settings: clustered data, spatial data, unequal sampling probabilities, concept
drift, and hierarchically structured outcomes. Our overview combines
well-established methodologies with other existing methods that, to our
knowledge, have not been frequently considered in these particular settings. A
unifying principle among these techniques is that the test data used in each
iteration of the resampling procedure should reflect the new observations to
which the model will be applied, while the training data should be
representative of the entire data set used to obtain the final model. Beyond
providing an overview, we address literature gaps by conducting simulation
studies. These studies assess the necessity of using GE-estimation methods
tailored to the respective setting. Our findings corroborate the concern that
standard resampling methods often yield biased GE estimates in non-standard
settings, underscoring the importance of tailored GE estimation.