[R] SE for R-squared

[peter dalgaard]

On 12 Jan 2014, at 21:36 , John C Frain <frainj at gmail.com> wrote:

> Have a look at
> 
> http://davegiles.blogspot.ie/2013/10/more-on-distribution-of-r-squared.html
> 

Or head directly for the Wikipedia page for the noncentral beta distribution (and/or noncentral F). Giles doesn't really do the non-null distribution. 

It you really want the mean and SE, you'll need to refresh your knowledge about confluent hypergeometric functions, though.

I was a bit bemused by Giles' us of the beta distribution of R^2 in the null case to prove that it is an upwardly biased estimator of zero. I would have thought that to be rather obvious.

Anyways, as has already been pointed out, 

CrossValidated is -----> over there.

- Peter D.


> John
> 
> 
> On 10 January 2014 20:32, Troels Ring <tring at gvdnet.dk> wrote:
> 
>> In R package "psychometrics" an estimate of SE of R squared of /sersq <-
>> sqrt((4*rsq*(1-rsq)^2*(n-k-1)^2)/((n^2-1)*(n+3))) with n sample size,
>> and  k number of parameters if sample size greater than 60 is found.
>> Does anyone have a formula for smaller sample size or an exact formula?
>> I have been through sos - but only found the above?
>> 
>> All best wishes
>> Troels Ring
>> Denmark
>> /
>> 
>>        [[alternative HTML version deleted]]
>> 
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>> 
> 
> 
> 
> -- 
> John C Frain
> Economics Department
> Trinity College Dublin
> Dublin 2
> Ireland
> www.tcd.ie/Economics/staff/frainj/home.html
> mailto:frainj at tcd.ie
> mailto:frainj at gmail.com
> 
> 	[[alternative HTML version deleted]]
> 
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

-- 
Peter Dalgaard, Professor,
Center for Statistics, Copenhagen Business School
Solbjerg Plads 3, 2000 Frederiksberg, Denmark
Phone: (+45)38153501
Email: pd.mes at cbs.dk  Priv: PDalgd at gmail.com