[R] Leave one out Cross validation (LOO)
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Tue Feb 24 19:15:27 CET 2009
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
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 E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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