Proper Model Selection through Cross Validation

So, what is cross validation? Recalling my post about model selection, where we saw that it may be necessary to split data into three different portions, one for training, one for validation (to choose among models) and eventually measure the true accuracy through the last data portion. This procedure is one viable way to choose the best among several models. Cross validation (CV) is not too different from this idea, but deals with the model training/validation in quite a smart way. For CV we use a larger combined training and validation data set, followed by a testing dataset.