Journal
JOURNAL OF CHEMOMETRICS
Volume 18, Issue 9, Pages 422-429Publisher
JOHN WILEY & SONS LTD
DOI: 10.1002/cem.887
Keywords
mean squared error of prediction (MSEP); cross-validation; adjusted cross-validation; bootstrap; 0.632 estimate; principal component regression (PCR); partial least squares regression (PLSR)
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This paper presents results from simulations based on real data, comparing several competing mean squared error of prediction (MSEP) estimators on principal component regression (PCR) and partial least squares regression (PLSR): leave-one-out cross-validation, K-fold and adjusted K-fold cross-validation, the ordinary bootstrap estimate, the bootstrap smoothed cross-validation (BCV) estimate and the 0.632 bootstrap estimate. The overall performance of the estimators is compared in terms of their bias, variance and squared,error. The results indicate that the 0.632 estimate and leave-one-out cross-validation are preferable when one can afford the computation. Otherwise adjusted 5- or 10-fold cross-validation are good candidates because of their computational efficiency. Copyright (c) 2005 John Wiley T Sons, Ltd.
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