Double PRESS(TMtx A, TVec Y)
Prediction error sum of squares (PRESS).
| # | Name | Description |
|---|---|---|
| 1 | Y | Defines vector of dependant variable. |
| 2 | A | Defines matrix of independant variables. |
Returns: Double - calculated PRESS value.
Remarks:
PRESS is an acronym for prediction sum of squares. It was developed for use in variable selection to validate a regression model. To calculate PRESS, each observation is individually omitted. The remaining N - 1 observations are used to calculate a regression and estimate the value of the omitted observation. This is done N times, once for each observation. The difference between the actual Y value and the predicted Y with the observation deleted is called the prediction error or PRESS residual. The sum of the squared prediction errors is the PRESS value. The smaller PRESS is, the better the predictability of the model.
See Also: Regress.RegressTest