The title says it all. I'm interested in getting a better understand how to test the predictive power of your statistical models. As an example: Assuming you want to model a certain relationship with regression and test how it behaves to predict future values how do you go about it in a sound statistical sense? How about for more complicated models, like in machine learning or time series analysis? Is there a book with the foundation of such question or at least covering certain parts of it.
I have heard good things about "The Essential Guide to Effect Sizes: Statistical Power, Meta-Analysis, and the Interpretation of Research Results"
You get so see how effect size and power are related, a topic that is often seen less than it should be in intro stats books.