[R] Leave one out Cross validation (LOO)

[Frank E Harrell Jr]

Alex Roy wrote:
> Dear R user,
>                        I am working with LOO. Can any one who is working
> with leave one out cross validation (LOO) could send me the code?
> 
> Thanks in advance
> 
> Alex
> 

I don't think that LOO adequately penalizes for model uncertainty.  I 
recommend the bootstrap or 50 repeats of 10-fold cross-validation.  See 
for example the validate and calibrate functions in the R Design package.

Frank
-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University