Risk and cross validation in ridge regression with correlated samples

Recent years have seen substantial advances in our understanding of high-dimensional ridge regression, but existing theories assume that training examples are independent. By leveraging techniques from random matrix theory and free probability, we provide sharp asymptotics for the in- and out-of-sample risks of ridge regression when the data points have arbitrary correlations. We demonstrate that in this setting, the generalized cross validation estimator (GCV) fails to correctly predict the out-of-sample risk. However, in the case where the noise residuals have the same correlations as the data points, one can modify the GCV to yield an efficiently-computable unbiased estimator that concentrates in the high-dimensional limit, which we dub CorrGCV. We further extend our asymptotic analysis to the case where the test point has nontrivial correlations with the training set, a setting often encountered in time series forecasting. Assuming knowledge of the correlation structure of the time series, this again yields an extension of the GCV estimator, and sharply characterizes the degree to which such test points yield an overly optimistic prediction of long-time risk. We validate the predictions of our theory across a variety of high dimensional data.

Natural time series data are ubiquitously correlated. However, cross-validation methods for estimating the error of predictions made using even the simplest linear regression methods assume that samples are independent. Here, we introduce an efficiently computable estimator for the out-of-sample risk of ridge regression when the data points have arbitrary correlations. We dub this estimator the CorrGCV, as it is a correlation-corrected version of the generalized cross validation (GCV) estimator.