Cross-Validation in Function Estimation
نویسنده
چکیده
Cross-validation is an intuitive and effective technique for model selection in data analysis. In this discussion, I try to present a few incarnations of the general technique in a few nonparametric function estimation settings. Justifications of the technique in Gaussian regression settings will be discussed, along with possible reasons for the lack of similar justification in other settings. There will be discussions of some subtle conceptual issues which put certain widely adopted concepts/practice under scrutiny.
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