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GB – 304 – The PRESS statistic (pg. 282) PRESS is the Predicted REsidual Sum of Squares -- An Out-of-sample validation statistic where you hold out just one point at a time n 2 ˆ PRESS ( yi y(i ) ) i 1 -- Hold out the ith point -- Find the regression eqtn using the remaining n –1 points -- Predict the held out value to get yˆ ( i ) -- Compare to the value yi -- Do this for all points, square the differences and sum them up to get the PRESS statistic -- Calculate this statistic for several candidate models; the one with the smallest PRESS is considered the best. Alternatively, an easier formula to use is… eˆi PRESS i 1 1 hii n 2