Benchmarking the LOOCV
Benchmarking fastloocvΒΆ
In this post I will benchmark the fastloocv code I presented in my previous post.
LOO cross-validation with python
There is a type of cross-validation procedure called leave one out cross-validation (LOOCV). It is very similar to the more commonly used $k-fold$ cross-validation. In fact, LOOCV can be seen as a special case of $k-fold$ CV with $k=n$, where n is the number of data points. In other words, LOOCV trains the statistical model on every possible set containing $n-1$ data points and then tests it on the $n^{th}$ point.