statsmodels.gam.generalized_additive_model.GLMGam.select_penweight_kfold

GLMGam.select_penweight_kfold(alphas=None, cv_iterator=None, cost=None, k_folds=5, k_grid=11)

find alphas by k-fold cross-validation

Warning: This estimates k_folds models for each point in the

grid of alphas.

Parameters

alphasNone or list of arrays

cv_iteratorinstance

instance of a cross-validation iterator, by default this is a KFold instance

costfunction

default is mean squared error. The cost function to evaluate the prediction error for the left out sample. This should take two arrays as argument and return one float.

k_foldsint

number of folds if default Kfold iterator is used. This is ignored if cv_iterator is not None.

Returns

alpha_cvlist of float

Best alpha in grid according to cross-validation

res_cvinstance of MultivariateGAMCVPath

The instance was used for cross-validation and holds the results

Notes

The default alphas are defined as alphas = [np.logspace(0, 7, k_grid) for _ in range(k_smooths)]