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PRESS Statistic - GB – 304 – The PRESS statistic (pg

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PRESS Statistic - GB – 304 – The PRESS statistic (pg Powered By Docstoc
					     GB – 304 – The PRESS statistic (pg. 282)
  PRESS is the Predicted REsidual Sum of Squares
-- An Out-of-sample validation statistic where you hold
out just one point at a time
                               n
            PRESS   ( yi  y
                             ˆ (i ) ) 2
                              i 1
-- Hold out the ith point
-- Find the regression eqtn using the remaining n –1 points
                                     ˆ
-- Predict the held out value to get y( i )
-- Compare to the value yi
-- Do this for all points, square the differences and sum
them up to get the PRESS statistic
-- Calculate this statistic for several candidate models; the
one with the smallest PRESS is considered the best.

Alternatively, an easier formula to use is…
                                                  2
                             ei
                               ˆn
                                              
               PRESS     1 h             
                                              
                       i 1     ii           

				
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