Hi Mathieu,
Unfortunately we do not keep this information (hat matrix) after building the
model.I think only solution is to redefine all the process.
Maybe we can also get in mind a way of storing these residuals after performing
a chaos
Cheers, Sofiane HADDAD
Le mercredi 24 avril 2019 à 15:26:36 UTC+2, COUPLET Mathieu
<[email protected]> a écrit :
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Hello everyone.
I would like to know whether there is an simple/cheap way to get the
leave-one-out residuals from the result of a FunctionalChaosAlgorithm (using
FixedStrategy + LARS + KFold or CorrectedLeaveOneOut) applied over the complete
data set (formula (3) of
http://openturns.github.io/openturns/latest/theory/meta_modeling/cross_validation.html),
that is without rebuilding a DesignProxy, computing the “hat matrix”, and so
on.
I prefer these residuals to the least-square ones because I want a fair
comparison with other techniques, in particular “interpolation” by kriging.
Moreover, I don’t want to use a “big” test/validation set so as to save as much
data as possible for the regression.
Thank you,
Mathieu Couplet.
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