Calculate Leave-One-Out Prediction for GLM

In the model development, the “leave-one-out” prediction is a way of cross-validation, calculated as below:
1. First of all, after a model is developed, each observation used in the model development is removed in turn and then the model is refitted with the remaining observations
2. The out-of-sample prediction for the refitted model is calculated with the removed observation one by one to assemble the LOO, e.g. leave-one-out predicted values for the whole model development sample.
The loo_predict() function below is a general routine to calculate the LOO prediction for any GLM object, which can be further employed to investigate the model stability and predictability.

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> pkgs <- c ( 'doParallel' , 'foreach' ) > lapply (pkgs, require, character.only = T) [[1]] [1] TRUE   [[2]] [1] TRUE   > registerDoParallel (cores = 8) > > data (AutoCollision, package = "insuranceData" ) > # A GAMMA GLM # > model1 <- glm (Severity ~ Age + Vehicle_Use, data = AutoCollision, family = Gamma (link = "log" )) > # A POISSON GLM # > model2 <- glm (Claim_Count ~ Age + Vehicle_Use, data = AutoCollision, family = poisson (link = "log" )) > > loo_predict <- function (obj) { +   yhat <- foreach (i = 1: nrow (obj$data), .combine = rbind) %dopar% { +     predict ( update (obj, data = obj$data[-i, ]), obj$data[i,], type = "response" ) +   } +   return ( data.frame (result = yhat[, 1], row.names = NULL )) + } > # TEST CASE 1 > test1 <- loo_predict (model1) > test1$result   [1] 303.7393 328.7292 422.6610 375.5023 240.9785 227.6365 288.4404 446.5589   [9] 213.9368 244.7808 278.7786 443.2256 213.9262 243.2495 266.9166 409.2565 [17] 175.0334 172.0683 197.2911 326.5685 187.2529 215.9931 249.9765 349.3873 [25] 190.1174 218.6321 243.7073 359.9631 192.3655 215.5986 233.1570 348.2781 > # TEST CASE 2 > test2 <- loo_predict (model2) > test2$result   [1]  11.15897  37.67273  28.76127  11.54825  50.26364 152.35489 122.23782   [8]  44.57048 129.58158 465.84173 260.48114 107.23832 167.40672 510.41127 [15] 316.50765 121.75804 172.56928 546.25390 341.03826 134.04303 359.30141 [22] 977.29107 641.69934 251.32547 248.79229 684.86851 574.13994 238.42209 [29] 148.77733 504.12221 422.75047 167.61203