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Estimating prediction error : cross-validation vs. accumulated prediction error
-
- Häggström, Jenny, 1980- (author)
- Umeå universitet,Statistiska institutionen
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- de Luna, Xavier, 1968- (author)
- Umeå universitet,Statistiska institutionen
- (creator_code:org_t)
- Informa plc. 2010
- 2010
- English.
- In: Communications in statistics. Simulation and computation. - : Informa plc.. - 0361-0918 .- 1532-4141. ; 39:5, s. 880-898
- Journal article (peer-reviewed)
Abstract
Subject headings
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- We study the validation of prediction rules such as regression models and classification algorithms through two out-of-sample strategies, cross-validation and accumulated prediction error. We use the framework of Efron (1983) where measures of prediction errors are defined as sample averages of expected errors and show through exact finite sample calculations that cross-validation and accumulated prediction error yield different smoothing parameter choices in nonparametric regression. The difference in choice does not vanish as sample size increases.
Subject headings
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
Keyword
- Local polynomial regression
- Nonparametric regression
- Out-of-sample validation
- Smoothing parameter
- Statistics
- Statistik
- Statistics
- statistik
Publication and Content Type
- ref (subject category)
- art (subject category)
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