Recently I was looking into measures to evaluate a regularized least squares model. One thing I would have liked was cross-validation to be able to compare different models. When researching possibilities, I discovered PRESS (Predicted Residual Sum of Squares Statistic). The main resources I used to study the subject are: [1] Adrien Bartoli: Maximizing the … Continue reading Deriving the Predicted Residual Sum of Squares Statistic