Assessing Prediction Error at Interpolation and Extrapolation Points

18 Feb 2018 Rabinowicz Assaf Rosset Saharon

Common model selection criteria, such as $AIC$ and its variants, are based on in-sample prediction error estimators. However, in many applications involving predicting at interpolation and extrapolation points, in-sample error cannot be used for estimating the prediction error... (read more)

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  • METHODOLOGY