[R] How to validate model?
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Tue Oct 7 14:31:10 CEST 2008
Maithili Shiva wrote:
> I am working on scorecard model and I have arrived at the regression equation. I have used logistic regression using R.
> My question is how do I validate this model? I do have hold out sample of 5000 customers.
> Please guide me. Problem is I had never used Logistic regression earlier neither I am used to credit scoring models.
> Thanks in advance
The holdout sample of 5000 may be too small. You didn't specify the
size of the training sample. I assume it is 50,000 or larger. 50-fold
repeats of 10-fold cross-validation is better. With any resampling
technique you need to repeat all exploratory and modeling steps inside
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Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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