Modeling and Multivariate Methods - SAS

Chapter 4 Fitting Stepwise Regression Models 153
Using Validation
K-Fold Cross Validation
K-Fold cross validation divides the original data into K subsets. In turn, each of the K sets is used to validate
the model fit on the rest of the data, fitting a total of K models. The model giving the best validation
statistic is chosen as the final model. This method is best for small data sets, because it makes efficient use of
limited amounts of data.
To use K-Fold cross validation, do one of the following:
• Use a validation column with four or more distinct values.
• From the red triangle menu for Stepwise Fit, select K-Fold Crossvalidation.