In statistics, the predicted residual error sum of squares (PRESS) is a form of cross-validation used in regression analysis to provide a summary measure of the fit of a model to a sample of observations that were not themselves used to estimate the model. It is calculated as the sum of squares of the prediction residuals for those observations. [1] [2] [3] Specifically, the PRESS statistic is an exhaustive form of cross-validation, as it tests all the possible ways that the original data can be divided into a training and a validation set.
A fitted model having been produced, each observation in turn is removed and the model is refitted using the remaining observations (similar to leave-one-out cross-validation). The out-of-sample predicted value is calculated for the omitted observation in each case, and the PRESS statistic is calculated as the sum of the squares of all the resulting prediction errors: [4]
Given this procedure, the PRESS statistic can be calculated for a number of candidate model structures for the same dataset, with the lowest values of PRESS indicating the best structures. Models that are over-parameterised ( over-fitted) would tend to give small residuals for observations included in the model-fitting but large residuals for observations that are excluded. The PRESS statistic has been extensively used in lazy learning and locally linear learning to speed-up the assessment and the selection of the neighbourhood size. [5] [6]