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Consider the set
, containing the sample errors in the
-th fold of leave-one-out cross-validation. An estimator for the mean of this distribution and the variance of the estimator are given by:

Now let

be the mean, if
is left out.
- a)
**Prove** that the mean of the means

is equal to
.
- b)
- The variance
of this so called
*jackknife*-estimator
is given by

**Prove** that
.

Pfeiffer Michael
2006-01-18