基于组块3 * 2交叉验证的预测误差估计的方差

Variance of Estimator of the Prediction Error Based on Blocked 3 * 2 Cross-Validation

摘要: 本文对文献中新提出的预测误差的组块交叉验证估计的方差进行了研究, 给出了其方差的更为精细的表达式, 且从理论上证明了不存在其方差的通用(对所有分布都适用的)无偏估计.

Abstract: This paper studies the variance of blocked cross-validation estimator of the prediction error recently proposed in the literature. A more accuracy representation of the variance is provided and the main theorem shows that there exists no universal (valid under all distributions) unbiased estimator of the variance.