RsquaredSE {oosse}

Calculate out-of-sample R² and its standard error based on MSE estimates

Description

Calculate out-of-sample R² and its standard error based on MSE estimates

Usage

RsquaredSE(MSE, margVar, SEMSE, n, corMSEMST)

Arguments

MSE

An estimate of the mean squared error (MSE)

margVar

The marginal variance of the outcome, not scaled by (n+1)/n

SEMSE

The standard error on the MSE estimate

n

the sample size of the training data

corMSEMST

The correlation between MSE and marginal variance estimates

Details

This function is exported to allow the user to estimate the MSE and its standard error and the correlation between MSE and MST estimators himself. The marginal variance is scaled by (n+1)/n to the out-of-sample MST, so the user does not need to do this.

Value

A vector with the R² and standard error estimates

References

Hawinkel S, Waegeman W, Maere S (2023). “Out-of-sample R2: Estimation and inference.” Am. Stat., 1 - 16. doi:10.1080/00031305.2023.2216252, https://doi.org/10.1080/00031305.2023.2216252.

See Also

R2oosse

Examples

#The out-of-sample R² calculated using externally provided estimates
RsquaredSE(MSE = 3, margVar = 4, SEMSE = 0.4, n = 50, corMSEMST = 0.75)