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In the setting of $k$-fold cross validation, my data is split into $k$ disjoint sub-samples. Each fold contains one of these sub-samples as the test set $T$, and the rest of the data not in this sub-sample is assigned to the training. The model is fit on the training set, and used to predict whatever value of interest on the test set. Let's call these set of predictions $(\hat{y_i})_{i\in T}$.

I have heard of people refer to the cross validated error, that is $(\hat{y_i} - y_i)_{i\in T}$. However, can you refer to the predictions $(\hat{y_i})_{i\in T}$ as cross validated predictions? If not, what would be an appropriate way of referring to these?

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  • $\begingroup$ I'd call them fold predictions ¯_(ツ)_/¯. Cross-validated predictions is ambiguous, makes me think it refers to the predictions from a cross-validated model. $\endgroup$
    – Dex Groves
    Sep 23, 2016 at 0:54
  • $\begingroup$ What do you mean by "predictions from a cross-validated model"? Are these model predictions obtained after fitting a model (that has passed cross validation) to the whole dataset? $\endgroup$
    – Alex
    Sep 23, 2016 at 1:01
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    $\begingroup$ Yep. "fold predictions" can only be interpreted one way, whereas "cross validated predictions" can be interpreted two ways. But that's just, like, my opinion, man. $\endgroup$
    – Dex Groves
    Sep 26, 2016 at 4:00
  • $\begingroup$ They are referred to as predictors, but as they are not extrapolations beyond the range of the data, that usage is semantically challenged. I think what they are is parameter location and range predictors, not data predictions. $\endgroup$
    – Carl
    Dec 13, 2016 at 5:39

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