Cross-Validation Methods

✍ Scribed by Michael W Browne

• Publisher: Elsevier Science
• Year: 2000
• Tongue: English
• Weight: 199 KB
• Volume: 44
• Category: Article
• ISSN: 0022-2496
• DOI: 10.1006/jmps.1999.1279

✦ Synopsis

This paper gives a review of cross-validation methods. The original applications in multiple linear regression are considered first. It is shown how predictive accuracy depends on sample size and the number of predictor variables. Both two-sample and single-sample cross-validation indices are investigated. The application of cross-validation methods to the analysis of moment structures is then justified. An equivalence of a single-sample crossvalidation index and the Akaike information criterion is pointed out. It is seen that the optimal number of parameters suggested by both single-sample and two-sample cross-validation indices will depend on sample size. 2000