Upper Confidence Bounds for the Prediction Error of Kernel Ridge Regression via Gaussian Refitting

Abstract

Assessing a single model fit requires a computable upper confidence bound for the gap between the fit and the unknown truth, as mean estimates ignore realization variance. Standard cross-validation margins are bottlenecked at order $n^{-1/2}$ by noise fluctuations, even when the true error shrinks faster. While wild refitting cancels this noise level, existing Rademacher sign methods degenerate for kernel ridge regression and rely on unobservable quantities. We propose a Gaussian refit for kernel ridge regression. By Anderson's inequality, the fit movement is monotone in the noise sizes, yielding a computable tail bound. Assuming only symmetric noise, the bound requires no moment assumptions and is calibrated at any confidence level via order statistics. Theoretically, using a worst-case envelope, the bound contracts at the minimax rate $O_P(n^{-2s/(2s+1)})$, correctly matching the prediction error. Empirically, using a practical data-driven envelope, the bound maintains full coverage within twice the true $95\%$ error quantile. By contrast, cross-validation exceeds this quantile by factors up to $51$, and by hundreds under infinite-variance noise. The procedure extends empirically to nonlinear constrained estimators and real spatial data.