Implements Shao's recommendation.
number of observations
hold-out sample size for delete-d method. This is the validation data
This is only recommended in the variable selection problem in the classical asymptotic linear regression setting where p is fixed and n is much larger than p, where n is the number of observations and p is the number of independent variables.
A. I. McLeod
Jun Shao (1993). Model Selection by Cross-Validation. Journal of the American Statistical Association, Vol. 88, No. 422, pp. 486-494.
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