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SLDM III c Hastie & Tibshirani - February 25, 2009 Cross-validation and bootstrap 3 K-Fold Cross-Validation Primary method for estimating a tuning parameter λ (such as subset size) • Divide the data into K roughly equal parts 1 TrainTrainValidation Train Train 5432 • for each k = 1, 2, . . . K, fit the model with parameter λ to the other K − 1 parts, giving ˆβ−k (λ) and compute its error in predic