{"ID":5675446,"CreatedAt":"2026-07-03T01:40:09.565152011Z","UpdatedAt":"2026-07-07T01:06:03.009715918Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2607.02328","arxiv_id":"2607.02328","title":"Cross-Audit Projection for Model Risk Prediction","abstract":"For training-data-based model risk prediction, $K$-fold cross-validation~(CV) is widely used to mitigate the well-known over-optimism of the empirical risk and is often regarded as reliable. However, for binary classification via empirical risk minimization, our numerical studies reveal a surprising phenomenon: $K$-fold CV may perform poorly in estimating class-specific risks, even worse than the empirical estimator. We perform a higher-order asymptotic analysis showing that $K$-fold CV may converge at a slower rate, whereas the empirical estimator exhibits a second-order asymptotic bias that explains its over-optimism. These findings motivate a novel two-step procedure for model risk prediction, termed cross-audit projection (CAP). The cross-audit step adopts the same resampling scheme as $K$-fold CV to estimate over-optimism in subsamples, while the asymptotic-theory-informed projection step adjusts for the reduced sample size in bias correction of the empirical risk. The resulting CAP estimator is first-order asymptotically equivalent to the empirical risk while achieving second-order asymptotic unbiasedness. An accompanying inference procedure is also developed. Simulation studies support theoretical advantages of CAP and demonstrate favorable finite-sample performance. An application to breast cancer detection further illustrates the proposed method.","short_abstract":"For training-data-based model risk prediction, $K$-fold cross-validation~(CV) is widely used to mitigate the well-known over-optimism of the empirical risk and is often regarded as reliable. However, for binary classification via empirical risk minimization, our numerical studies reveal a surprising phenomenon: $K$-fol...","url_abs":"https://arxiv.org/abs/2607.02328","url_pdf":"https://arxiv.org/pdf/2607.02328v1","authors":"[\"Yijian Huang\"]","published":"2026-07-02T15:35:18Z","proceeding":"stat.ME","tasks":"[\"stat.ME\",\"math.ST\",\"stat.ML\"]","methods":"[]","has_code":false}