On the Selection of the Regularization Parameter in Stacking

Stacking is a model combination technique to improve prediction accuracy. Regularization is usually necessary in stacking because some predictions used in the model combination provide similar predictions. Cross-validation is generally used to select the regularization parameter, but it incurs a high computational cost. This paper proposes two simple low computational cost methods for selecting the regularization parameter. The effectiveness of the methods is examined in numerical experiments. Asymptotic results in a particular setting are also shown.