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AbstractA review is given of different ways of estimating the error rate of a prediction rule based on a statistical model. A distinction is drawn between apparent, optimum and actual error rates. Moreover it is shown how cross‐validation can be used to obtain an adjusted predictor with smaller error rate. A detailed discussion is given for ordinary least squares, logistic regression and Cox regression in survival analysis. Finally, the split‐sample approach is discussed and demonstrated on two data sets.
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