fTestTargetY: F-test for a nested model comparison.

In CondIndTests: Nonlinear Conditional Independence Tests

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.

CondIndTests documentation built on Nov. 12, 2019, 9:07 a.m.