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Resampling Plans and the Estimation of Prediction Error

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  • Bradley Efron

    (Department of Statistics, Stanford University, Stanford, CA 94305, USA)

Abstract

This article was prepared for the Special Issue on Resampling methods for statistical inference of the 2020s . Modern algorithms such as random forests and deep learning are automatic machines for producing prediction rules from training data. Resampling plans have been the key technology for evaluating a rule’s prediction accuracy. After a careful description of the measurement of prediction error the article discusses the advantages and disadvantages of the principal methods: cross-validation, the nonparametric bootstrap, covariance penalties (Mallows’ C p and the Akaike Information Criterion), and conformal inference. The emphasis is on a broad overview of a large subject, featuring examples, simulations, and a minimum of technical detail.

Suggested Citation

  • Bradley Efron, 2021. "Resampling Plans and the Estimation of Prediction Error," Stats, MDPI, vol. 4(4), pages 1-25, December.
    • Handle: RePEc:gam:jstats:v:4:y:2021:i:4:p:63-1115:d:706231
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    References listed on IDEAS

    as
    1. Saharon Rosset & Ryan J. Tibshirani, 2020. "From Fixed-X to Random-X Regression: Bias-Variance Decompositions, Covariance Penalties, and Prediction Error Estimation," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 138-151, January.
    2. Bradley Efron, 2004. "The Estimation of Prediction Error: Covariance Penalties and Cross-Validation," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 619-632, January.
    3. Jing Lei & Max G’Sell & Alessandro Rinaldo & Ryan J. Tibshirani & Larry Wasserman, 2018. "Distribution-Free Predictive Inference for Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1094-1111, July.
    4. Saharon Rosset & Ryan J. Tibshirani, 2020. "From Fixed-X to Random-X Regression: Bias-Variance Decompositions, Covariance Penalties, and Prediction Error Estimation: Rejoinder," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 161-162, January.
    5. Zhang, Yongli & Yang, Yuhong, 2015. "Cross-validation for selecting a model selection procedure," Journal of Econometrics, Elsevier, vol. 187(1), pages 95-112.
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