I need to use the criterion
for a linear regression model to estimate the
test MSE. Here $\beta$'s are the regression parameters and $V$ is the population covariance matrix. I have to split the data
• train (to estimate $\beta$'s)
• validation (to estimate hyperparameters) and
• test sets (to estimate
But the criterion given above does not include any term about the test set.
How could I use this criterion to estimate the