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K-fold Cross-validation is a model selection tool. For each model estimated on a given data set (training-validation set), k-fold cross-validation gives a score which is an estimate of the model performance on a new data set (testing set). The k-fold cross-validation splits the training-validation data set into k equally-sized blocks. At each stage, k-1 blocks are used for estimating the model and the remaining block is used for computing its average prediction error. The blocks used for estimation are called the training data and the block used for prediction diagnostics is called the validation data. The process repeats itself until each single block is used as the validation data. The results from k different validation procedures (corresponding to k different validation blocks) are averaged to produce the overall cross-validation score. The cross-validation score is an estimate of the true prediction error on the training-validation data set.

To use cross-validation for model selection, we chose the model giving smallest cross-validation score over the whole set of candidates. Cross-validation has the advantage over the Akaike information criterion (AIC) and the Bayesian information criterion (BIC) in not making any assumptions about the structure and distributions of the true model. On the flip side, it performs worse on small data sets.


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