[GitHub] [arXiv] [Blog post]

alocv is an R package that implement the approximate leave-one-out (ALO) cross-validation strategy for common regressors in an efficient way. Leave-one-out cross-validation (LOOCV) is an appealing method for parameter tuning. However, its high computational cost (requiring fitting the model $n$ times) often makes it infeasible in application. Our proposed method approximates the LOOCV estimations using only the full data fit and siginificantly reduced the time needed for risk estimation.”