Fig. 12

Estimation Stability with Cross Validation (ES-CV). The green curves are the plot of the ES metric. The black curves are the plot of mean squared error (MSE) through cross validation. The blue triangles identify the λ at which the local minima of the ES metric occur. The pink circles indicate the largest λ such that MSE is within one standard error of the minimum MSE. a In the case where noise overwhelms the data, ES fails and CV is incorporated. We can note that between the choice of CV (pink circle) and the choice of ES (blue triangles), ES-CV picks the larger λ. b We can note that the ES-CV approach selects a larger λ compared to the choice of cross validation. Hence, the choice of λ selected through ES-CV leads to a sparser solution than that of CV