A Note on the Prediction Sum of Squares Statistic for Restricted Least Squares

Abstract

Abstract There is a well-known simple formula for computing prediction sum of squares (PRESS) residuals in a regression problem without having to refit the curve for each observation. This note shows that the same basic result holds for fitting a regression function when the regression coefficients are subject to linear constraints. Key Words: Leave-one-outLinear constraintsRegression