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Calculating an LOOCV MSE by hand

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  • Author(s): Arthur Charpentier
  • Source:
    URI:https://freakonometrics.hypotheses.org
  • Document Type:
    other/unknown material
  • Language:
    unknown
  • Additional Information
    • Publication Information:
      Freakonometrics
    • Publication Date:
      2024
    • Collection:
      OpenEdition
    • Abstract:
      Last week, we had an "mid-term" exam, for our introduction to statistical learning course. The question is simple: consider three points, [latex](x_i,y_i)[/latex], here [latex display="true"]\{(0,2),(2,2),(3,1)\}[/latex]Consider here some linear models, estimated using least square techniques, what would be the leave-one-out cross-validation MSE ? I like this exercise since we can compute everything easily, by hand. Since at each step we remove one single observation, only two observations .
    • ISSN:
      2262-6891
    • Relation:
      info:eu-repo/semantics/reference/issn/2262-6891; https://doi.org/10.58079/12ggs; https://freakonometrics.hypotheses.org/77662; urn:handle:20.500.13089/12ggs; urn:doi:10.58079/12ggs
    • Accession Number:
      10.58079/12ggs
    • Online Access:
      https://doi.org/10.58079/12ggs
      https://freakonometrics.hypotheses.org/77662
    • Rights:
      info:eu-repo/semantics/openAccess
    • Accession Number:
      edsbas.54FD201A