3

If an answer is illustrated with R code, it would be even more gratefully accepted.

whuber
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AkiyamaYukari
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  • What is the statistical question? – utobi Nov 29 '16 at 14:34
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    @utobi the question is "how to calculate PRESS". In my opinion this is a perfectly valid question. – Tim Nov 29 '16 at 15:15
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    @Tim as far as I understood the question is "how to calculate PRESS using R", which sounds like performing routine operations within a statistical computing platform, hence off-topic. – utobi Nov 29 '16 at 15:45
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    @utobi In its current state, this question seems on-topic to me. I don't think the question is demanding only the R code but the details of computation. It is quite common for "how to compute" questions to express a language preference, but answerers are not obliged to respect it. That is, an answer without R code - using pseudo-code or Python or no code altogether - would still be a valid answer to the question as written. I think the line gets crossed when we see a question that asks how to implement in R. – Silverfish Nov 29 '16 at 19:45
  • @Tim Thanks for your great answer and I sorry about the way me asking this question.New to the neighbourhood, and still learning. – AkiyamaYukari Nov 30 '16 at 09:51
  • @AkiyamaYukari no problem. You can check http://stats.stackexchange.com/help/on-topic to learn what's on-topic on this site. There was some confusion because questions solely on how to use some software are off-topic, while question of statistical manner are on-topic. Btw, if you find my answer helpful you can mark it as "accepted" (the v button on the left of the answer) or upvote it (the upper arrow button) so it is clear that you received an answer and are satisfied with it, see http://stats.stackexchange.com/tour to learn more. – Tim Nov 30 '16 at 09:55
  • @Tim Much Thanks! I have accepted it but can ont upvote due to my low reputation. Sorry. – AkiyamaYukari Nov 30 '16 at 13:36
  • @AkiyamaYukari I know, this was just for your information. – Tim Nov 30 '16 at 13:40

1 Answers1

7

For linear regression model, given the hat matrix

$$ H = X (X'X)^{-1} X' $$

and residuals $e_i$, PRESS can be calculated as (see also here):

$$ \mathrm{PRESS} = \sum_i \left( \frac{e_i}{1-h_{ii}}\right)^2$$

This can be easily translated to the simple function:

PRESS <- function(linear.model) {
    pr <- residuals(linear.model)/(1 - lm.influence(linear.model)$hat)
    sum(pr^2)
}
Community
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Tim
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  • May I ask you to please take a look at https://stats.stackexchange.com/questions/476935/the-best-way-to-compute-the-press-statistic and at https://stats.stackexchange.com/questions/476913/what-assumptions-must-be-satisfied-to-use-r2-to-compute-the-f-statistic – BillB Jul 13 '20 at 23:04