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It is a common misconception and a huge source of disappointment with ML -- without proper validation of the whole model building procedure (method selection + parameter tuning + feature selection + fitting) no amount of data and magic tricks will make you sure that there is no overfitting. Even a single hold-out test is risky because gives you no idea about the expected accuracy variance.


Well, you can use the bootstrap to calculate the variance. It costs computation. But it works. Cosma Shalizi wrote a really nice introduction to it: http://www.americanscientist.org/issues/pub/2010/3/the-boots...




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