[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
> 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 E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University

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