Prediction Error Estimation Under Bregman Divergence for Non‐Parametric Regression and Classification

. Prediction error is critical to assess model fit and evaluate model prediction. We propose the cross‐validation (CV) and approximated CV methods for estimating prediction error under the Bregman divergence (BD), which embeds nearly all of the commonly used loss functions in the regression, classification procedures and machine learning literature. The approximated CV formulas are analytically derived, which facilitate fast estimation of prediction error under BD. We then study a data‐driven optimal bandwidth selector for local‐likelihood estimation that minimizes the overall prediction error or equivalently the covariance penalty. It is shown that the covariance penalty and CV methods converge to the same mean‐prediction‐error‐criterion. We also propose a lower‐bound scheme for computing the local logistic regression estimates and demonstrate that the algorithm monotonically enhances the target local likelihood and converges. The idea and methods are extended to the generalized varying‐coefficient models and additive models.