Nested cross-validation for accurate confidence intervals for prediction error.
This method was introduced in the paper Cross-validation: what does it estimate and how well does it do it? by Stephen Bates, Trevor Hastie, and Robert Tibshirani, available at https://arxiv.org/abs/2104.00673.
To install, run
devtools::install_github("stephenbates19/nestedcv")
Two vignettes showing basic usage are included.
The numerical experiments from the paper can be found at https://github.com/stephenbates19/nestedcv_experiments.