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Old 07-15-2021, 08:14 PM
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htlin htlin is offline
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Join Date: Aug 2009
Location: Taipei, Taiwan
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Default Re: Is a test set needed after cross validation?

When N is large, the variance of the individual errs would be large, as you mention. The variance of E_loocv, however, could be knocked down by N, making E_loocv possibly robust enough.

The usual issue when N is large is computation---computing E_loocv can be time consuming with large N.

Hope this helps.
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