- Practice best subset selection and stepwise selection for reducing the number of predictor variables in regression focusing on prediction
- Assess predictive ability of the model developed in training data in test data
- Indirectly estimate test error by adjusting training error to account for bias due to overfitting (Cp, AIC, BIC, adjusted R2);
- Directly estimate test error using validation set approach or cross-validation approach.
Textbook reading: Consult Course Schedule