Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Simple Bias-Correction Rule for the Apparent Prediction Error

  • Beong-Soo So (Department of Statistics, Ewha Womans University, Seodaemun, Seoul, 127-750, KOREA)
  • Published : 1995.12.01
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Abstract

By using simple Taylor expansion, we derive an easy bias-correction rule for the apparent prodiction error of the predictor defined by the general M-estimators with respect to an arbitrary measure of prediction error. Our method has a considerable computational advantage over the previous methods based on the resampling thchnique such as Cross-validaton and Boothtrap. Connections with AIC, Cross-Validation and Boothtrap are discussed too.

Keywords

References

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