Figure 1

Overview of double loop. An overview of the double loop CV procedure used to obtain the desired unbiased performance estimate P². In the embedded inner CV loop, the most promising model is selected which yields the largest unbiased performance estimate, Q². In the outer CV loop, external test examples are kept outside the inner loop and are only used to test the most promising model found in the inner loop. Note that the estimate P² reflects the average performance of the modelling procedure employed in the inner loop and that the estimate is based on many different models designed in the inner loop.