6.26 Resampling methods (4): Leave-one-out cross-validation (LOOCV)

  • In classification setting LOOCV error rate takes the form (James et al. 2013, 184):

\[CV(n) = \frac{1}{n}\sum_{i=1}^{n}Err_{i}\] where \(Err_{i}=I(y_{i}\neq\hat{y}_{i})\)

  • The k-fold CV error rate (see next slide) and validation set error rates are defined analogously


James, Gareth, Daniela Witten, Trevor Hastie, and Robert Tibshirani. 2013. An Introduction to Statistical Learning: With Applications in R. Springer Texts in Statistics. Springer.