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Computer Age Statistical Inference by Trevor Hastie, Bradley Efron

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12 Cross-Validation and Cp Estimates of Prediction Error

Prediction has become a major branch of twenty-first-century commerce. Questions of prediction arise naturally: how credit-worthy is a loan applicant? Is a new email message spam? How healthy is the kidney of a potential donor? Two problems present themselves: how to construct an effective prediction rule, and how to estimate the accuracy of its predictions. In the language of Chapter 1, the first problem is more algorithmic, the second more inferential. Chapters 1619, on machine learning, concern prediction rule construction. Here we will focus on the second question: having chosen a particular rule, how do we estimate its predictive accuracy?

Two quite distinct approaches to prediction ...

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