fTestTargetY {CondIndTests}

F-test for a nested model comparison.

Description

Used as a subroutine in InvariantTargetPrediction to test whether out-of-sample prediction performance is better when using X and E as predictors for Y, compared to using X only.

Usage

fTestTargetY(Y, predictedOnlyX, predictedXE, verbose, ...)

Arguments

Y

An n-dimensional vector.

predictedOnlyX

Predictions for Y based on predictors in X only.

predictedXE

Predictions for Y based on predictors in X and E.

verbose

Set to TRUE if output should be printed.

...

The dimensions of X (df) and E (dimE) need to be passed via the ... argument to allow for coherent interface of fTestTargetY and wilcoxTestTargetY.

Value

A list with the p-value for the test.