Yang Xingli, Wang Yu, Wang Ruibo, Li Jihong. Variance of Estimator of the Prediction Error Based on Blocked 3 * 2 Cross-Validation[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(4): 372-380.
Citation: Yang Xingli, Wang Yu, Wang Ruibo, Li Jihong. Variance of Estimator of the Prediction Error Based on Blocked 3 * 2 Cross-Validation[J]. Chinese Journal of Applied Probability and Statistics, 2014, 30(4): 372-380.

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

  • 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.
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