abs.error.pred

0th

Percentile

Indexes of Absolute Prediction Error for Linear Models

Computes the mean and median of various absolute errors related to ordinary multiple regression models. The mean and median absolute errors correspond to the mean square due to regression, error, and total. The absolute errors computed are derived from $\var{Yhat} - median(\var{Yhat})$, $\var{Yhat} - \var{Y}$, and $\var{Y} - median(\var{Y})$. The function also computes ratios that correspond to $R^2$ and $1 - R^2$ (but these ratios do not add to 1.0); the $R^2$ measure is the ratio of mean or median absolute $Yhat - median(Yhat)$ to the mean or median absolute $Y - median(Y)$. The $1 - R^2$ or SSE/SST measure is the mean or median absolute $Yhat - Y$ divided by the mean or median absolute $Y - median(Y)$.

Keywords
robust, models, regression
Usage
abs.error.pred(fit, lp=NULL, y=NULL)
"print"(x, ...)
Arguments
fit
a fit object typically from lm or ols that contains a y vector (i.e., you should have specified y=TRUE to the fitting function) unless the y argument is given to abs.error.pred. If you do not specify the lp argument, fit must contain fitted.values or linear.predictors. You must specify fit or both of lp and y.
lp
a vector of predicted values (Y hat above) if fit is not given
y
a vector of response variable values if fit (with y=TRUE in effect) is not given
x
an object created by abs.error.pred
...
unused
Value

a list of class abs.error.pred (used by print.abs.error.pred) containing two matrices: differences and ratios.

References

Schemper M (2003): Stat in Med 22:2299-2308.

Tian L, Cai T, Goetghebeur E, Wei LJ (2007): Biometrika 94:297-311.

See Also

lm, ols, cor, validate.ols

Aliases
  • abs.error.pred
  • print.abs.error.pred
Examples
set.seed(1)         # so can regenerate results
x1 <- rnorm(100)
x2 <- rnorm(100)
y  <- exp(x1+x2+rnorm(100))
f <- lm(log(y) ~ x1 + poly(x2,3), y=TRUE)
abs.error.pred(lp=exp(fitted(f)), y=y)
rm(x1,x2,y,f)
Documentation reproduced from package Hmisc, version 4.0-2, License: GPL (>= 2)

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