estMSE: Estimate MSE and its standard error

In oosse: Out-of-Sample R² with Standard Error Estimation

Estimate MSE and its standard error

Description

Estimate MSE and its standard error

Usage

estMSE(
  y,
  x,
  fitFun,
  predFun,
  methodMSE,
  nFolds,
  nInnerFolds,
  cvReps,
  nBootstraps
)

Arguments

y	The vector of outcome values
x	The matrix of predictors
fitFun	The function for fitting the prediction model
predFun	The function for evaluating the prediction model
methodMSE	The method to estimate the MSE, either "CV" for cross-validation or "bootstrap" for .632 bootstrap
nFolds	The number of outer folds for cross-validation
nInnerFolds	The number of inner cross-validation folds
cvReps	The number of repeats for the cross-validation
nBootstraps	The number of .632 bootstraps

Details

The nested cross-validation scheme follows \insertCiteBates2023oosse, the .632 bootstrap is implemented as in \insertCiteEfron1997oosse

Value

A vector with MSE estimate and its standard error

References

\insertAllCited

oosse documentation built on May 29, 2024, 10:35 a.m.