I thought of this while working on the homework for the class. Let's say I have three points: (-1,0), (1,0), and (1,1). I want to use a linear model (h(x) = mx + b) to do the fitting, and I use LOO to check my cross validation error. The problem becomes apparent right away:

Code:

Leave out (-1,0), and fit (1,0), (1,1). Fitting gives a vertical line, x = 1.

Of course, I am now unable to compute the squared error for the point (-1,0) that was left out - the error will be infinite.

Is the solution that I can't choose a vertical line (x = k, for some k) when fitting the data?