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|Table of Contents Multivariate Data Basic Knowledge Validation of Models|
|See also: PRESS, chance correlation, cross-validation|
Some (linear) multivariate methods provide theoretical foundation on the estimation of the reliability of such a model. When it comes to more sophisticated methods, or to non-linear methods, the resulting models have to be validated by a heuristic approach. In principle, there are several methods to perform this, certain ones often being tailored to a specific model. One approach for validation, however, always performs quite well. This approach is called cross-validation, also known as the "leave-one-out" method.
Cross-validation permits the determination of a measure for the prediction
error called PRESS (prediction error sum of
Last Update: 2006-Jšn-18