I now regularly test models using cross validation. I use a “calibration curve” to see whether the predictions from independent data fit the observed data. What I don’t have is a good citation for why this should be so. It’s a bit like asking for a citation for breathing. Of course, the expected values are \(\beta_0 = 0\) and \(\beta_1 = 1\)!
But, I need to find a citation. In my brief search so far I found David Cox (1958) wrote about this hypothesis for a binary regression model. That wasn’t in the context of cross validation however. A brief look at Web of Science indicates that papers in clinical sciences are still citing it when they test models, so maybe that’s good enough?
Are there any other ideas out there?
