Assume you need to generate a predictive model using multiple regression. Explain how you intend to validate this model?

Validation using R2R2:


  • % of variance retained by the model
  • Issue: R2R2 is always increased when adding variables


R2=RSStot−RSSresRSStot=RSSregRSStot=1−RSSresRSStotR2=RSStot−RSSresRSStot=RSSregRSStot=1−RSSresRSStot

Analysis of residuals:


  1. Heteroskedasticity (relation between the variance of the model errors and the size of an independent variable's observations).
  2. Scatter plots residuals Vs predictors.
  3. Normality of errors Etc. : diagnostic plots


Out-of-sample evaluation: with cross-validation.

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