Overfitting and optimism

Practical Exercise

In Chapter 5, we discuss causes of overfitting in predictive regression models, and its consequences, specifically optimism in performance estimates (Table 5.1). These issues are presented in a Practical Exercise, which starts with re-creating Fig 5.2 in R, and a critical look at Fig 5.3 and 5.4. Next, we discuss stepwise selection in the presence of pure noise predictors, in line with a paper by Mundry and Nunn. Finally, we perform bootstrap resampling to study optimism.

additional/chapter05.txt · Last modified: 2009/03/30 15:30 by ewsteyerberg
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