Estimation of the Squared Cross-Validity Coefficient in the Context of Best Subset Regression
@article{Kennedy1988EstimationOT, title={Estimation of the Squared Cross-Validity Coefficient in the Context of Best Subset Regression}, author={Eugene Kennedy}, journal={Applied Psychological Measurement}, year={1988}, volume={12}, pages={231 - 237} }
A monte carlo study was conducted to examine the performance of several strategies for estimating the squared cross-validity coefficient of a sample regres sion equation in the context of best subset regression. Data were simulated for populations and experimental designs likely to be encountered in practice. The re sults indicated that a formula presented by Stein (1960) could be expected to yield estimates as good as or better than cross-validation, or several other for mula estimators, for…
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