Statistical Word of the Week

Feb 12, 2013

Week #7 - Cross-Validation

is a general computer-intensive approach used in estimating the accuracy of statistical models.

The idea of cross-validation is to split the data into N subsets, to put one subset aside, to estimate parameters of the model from the remaining N-1 subsets, and to use the retained subset to estimate the error of the model. Such a process is repeated N times - with each of the N subsets being used as the validation set . Then the values of the errors obtained in such N steps are combined to provide the final estimate of the model error.

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