A methodolgy for assessment of the predictive ability of regression models is presented. Attention is given to models obtained via subset selection procedures, which are extremely difficult to evaluate by standard techniques. Cross-validatory assessments of predictive ability are obtained and their use illustrated in examples.
|Original language||English (US)|
|Number of pages||9|
|Journal||Journal of the American Statistical Association|
|State||Published - Sep 1984|
- Data splitting
- Model selection
- Optimism principle