Dear Frank,
                   Thanks for your comments. But in my situation, I do not
have any future data and I want to calculate Mean Square Error for
prediction on future data. So, is it not it a good idea to go for LOO?

thanks

Alex

On Tue, Feb 24, 2009 at 7:15 PM, Frank E Harrell Jr <
f.harrell@vanderbilt.edu> wrote:

>  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
>

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