How to use cross validation after imputing on a training and validation set?

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So I've gotten myself a little confused.

At the moment, I've got a dataset of about 800 instances. I've split it into a training and validation set because there were missing values so I used SimpleImputer from sklearn and fit_transform-ed the training set and transformed the testing set. I did that because if I want to predict for new instances, if there's missing values then I'll need to impute it the same way I imputed the test set.

Now I want to use cross validation to train and score models, but that would involve using the whole dataset and splitting it up into different training and testing sets, so then I'm worried about leakage from the training set because of the imputed values being fitted?

cross-validation imputation python
1 Answers

Generally, you'll want to split your data into three sets- a training set, testing set, and validation set. The testing set should be completely left out of training (your concern is correct.) When using cross validation, you don't need to worry about splitting your training and validation set- that's what cross validation does for you! Simply pass the training set to the cross validator, allow it to split into training and validation behind the scenes, and test the final model on your testing set (which has been completely left out of the training process.)

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