Data Splitting Strategies for Reducing the E ect
نویسنده
چکیده
Using the same data to both select and make inference from a model leads to over-optimistic predictions. Data splitting has been posited as an attractive alternative to complex methods of adjusting for the eeect of model selection on inference. Data splitting is widely recommended and used but little-studied. Diierent strategies are considered and the \honesty" of the predictions is assessed. Two simple experiments suggest that data splitting is not eeective.
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