[R] Off topic: S.E. for cross validation

Gad Abraham g.abraham at ms.unimelb.edu.au
Fri May 25 11:06:00 CEST 2007


I'm performing (blocked) 10-fold cross-validation of a several time 
series forecasting methods, measuring their mean squared error (MSE).

I know that the MSE_cv is the average over the 10 MSEs. Is there a way 
to calculate the standard error as well?

The usual SD/sqrt(n) formula probably doesn't apply here as the 10 
observations aren't independent.


Gad Abraham
Department of Mathematics and Statistics
The University of Melbourne
Parkville 3010, Victoria, Australia
email: g.abraham at ms.unimelb.edu.au
web: http://www.ms.unimelb.edu.au/~gabraham

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