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4 changes: 4 additions & 0 deletions sklearn/model_selection/_validation.py
Original file line number Diff line number Diff line change
Expand Up @@ -1040,6 +1040,10 @@ def cross_val_predict(
to exactly one test set, and its prediction is computed with an
estimator fitted on the corresponding training set.

This function can be useful to visualize prediction results,
as shown in the example:
:ref:`sphx_glr_auto_examples_model_selection_plot_cv_predict.py`.

Passing these predictions into an evaluation metric may not be a valid
way to measure generalization performance. Results can differ from
:func:`cross_validate` and :func:`cross_val_score` unless all tests sets
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