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- W2033872649 abstract "Abstract We consider the problem of selecting a model having the best predictive ability among a class of linear models. The popular leave-one-out cross-validation method, which is asymptotically equivalent to many other model selection methods such as the Akaike information criterion (AIC), the C p , and the bootstrap, is asymptotically inconsistent in the sense that the probability of selecting the model with the best predictive ability does not converge to 1 as the total number of observations n → ∞. We show that the inconsistency of the leave-one-out cross-validation can be rectified by using a leave-n v -out cross-validation with n v , the number of observations reserved for validation, satisfying n v /n → 1 as n → ∞. This is a somewhat shocking discovery, because nv/n → 1 is totally opposite to the popular leave-one-out recipe in cross-validation. Motivations, justifications, and discussions of some practical aspects of the use of the leave-n v -out cross-validation method are provided, and results ..." @default.
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- W2033872649 date "1993-06-01" @default.
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- W2033872649 title "Linear Model Selection by Cross-validation" @default.
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- W2033872649 doi "https://doi.org/10.1080/01621459.1993.10476299" @default.
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