On cross-validation and stacking

A number of times when using cross-validation (CV) while trying to do classification/probability estimation we have observed surprisingly low AUC's on real data with very few positive examples. AUC is the area under the ROC and measures the ranking ability and corresponds to the probability that a positive example receives a higher model score than a negative example. Intuition seems to suggest that no reasonable methodology should ever result in a model with an AUC significantly below 0.5. The focus of this paper is not on the estimator properties of CV (bias/variance/significance), but rather on the properties of the 'holdout' predictions based on which the CV performance of a model is calculated. We show that CV creates predictions that have an 'inverse' ranking with AUC well below 0.25 using features that were initially entirely unpredictive and models that can only perform monotonic transformations. In the extreme, combining CV with bagging (repeated averaging of out-of-sample predictions) generates 'holdout' predictions with perfectly opposite rankings on random data. While this would raise immediate suspicion upon inspection, we would like to caution the data mining community against using CV for stacking or in currently popular ensemble methods. They can reverse the predictions by assigning negative weights and produce in the end a model that appears to have close to perfect predictability while in reality the data was random.