Questions tagged [f-statistic]
An F statistic is a value you get when you run an ANOVA test or a regression analysis to find out if the means between two populations are significantly different.
68
questions
1
vote
0answers
28 views
Calculating the residual standard error from $F$-statistic and $R^2$
Is it possible to calculate the residual standard error ($\sqrt{MSE}$) for a linear regression model knowing only the values of the respective $R^2$ and the $F$-statistic with degrees of freedom $df_1=...
0
votes
0answers
12 views
What kind of statistical test do I need in testing the lag order in an Auto Regression model AR(4) against a restricted AR(3)?
Bit stumped on this one and none of my resources are helping to clarify this one for me.
I've been given an estimated Autoregression Model AR(4) model of the sort:
Yt = b0 + b1 x Yt-1 + b2 x Yt-2 + b3 ...
0
votes
0answers
17 views
Why is the use of the F-Statistic / p-value as a criteria in Stepwise Model Selection outdated? [duplicate]
I am coming from the field of psychology and in most publications Model Selection (OLS, Regression) is done via Forward/Backward Selection using the F-Static/p-value of the regression coefficients to ...
0
votes
0answers
9 views
Trading higher adj. Rsquared for a lower F statistic - which is preferred?
In the model selection process, I'm comparing two models. The decision is whether or not to add a specific interaction term to the multiple regression model.
The outcome of the model without the ...
1
vote
1answer
25 views
How do R-squared and p(F-statistic) impact the fitness of a linear regression model?
Given below the attached summary statistics of a linear regression model.
Noting that Adjusted R-square is only 15% but p(F-statistic) is very low (almost equal to zero):
Can it be said that it is a ...
0
votes
0answers
68 views
What is the difference between the Pseudo F Index and the F Statistic?
I'm wondering what the difference between the Pseudo F Index and the F Statistic is.
The Pseudo F Index is used in clustering analysis as an index to determine the the right number of clusters in a ...
1
vote
0answers
17 views
Proof that a model has a higher $R^2$ if F > 1
I need to prove that a model has a higher adjusted $R^2$ than another model if the F-statistic is greater than 1. Below is as far as I've gotten, but I'm not even sure if that's correct.
$$R^2_{adj} ...
0
votes
0answers
14 views
Multitaper F statistics
I'm having some problems interpreting the F-statistics output from multitaper analysis. To illustrate, the following code-snip in R performs multitaper analysis on the same sine-frequency but with ...
0
votes
0answers
8 views
Reporting F-statistic from Prism
I'm a grad student trying to prep an abstract for a poster submission. I've run the data in Prism (2 factor RMANOVA, treatment x time), but I always struggle with how to properly report my stats. ...
0
votes
0answers
16 views
Calculating F-statistic with weights
For my master thesis, I've been trying to get data on the F-statistics that I get using a variety of methods to generate the generalized propensity score, though my attempts to get there ended up ...
0
votes
0answers
175 views
Interpretation of F-statistic and pvalue Anova [python]
Dataset
I tried both methods of finding f-statistic and pvalues of my categorical features.
I sort the table in highest f-statistic values 1st and not the pvalues.
Is this the correct way to find ...
4
votes
0answers
83 views
Why is this statistic F-distributed?
A book I'm reading claims that the statistic:
$\frac{(RSS_0 - RSS_1) / (p_1 - p_0)}{RSS_1 / (N - p_1 - 1)}$ has an F distribution. Why is this? I know that an F distribution is something like $\frac{\...
0
votes
0answers
180 views
Difference between Wald statistics and effect size in regression models
In some of my regression models (using the rms package), I notice a distinct difference between the result of the Wald statistics (estimated using ...
1
vote
1answer
557 views
How to prove that the robust F statistic is asymptotically chi squared distributed?
The linear model is
$$y_{i}= x_{i}'\beta+u_{i}$$
When written in vector notation such that $y_{i}$ is a $1$ x $1$ matrix of outcomes, $x_{i}'$ is a $1$ x $k$ matrix of control variables, $\beta$ ...
2
votes
0answers
49 views
F ratios, ANOVA, and 2 stage nested (mixed) models in R
I have data relating to strength of fabric. Each fabric comes from one of 4 batches (B), and batches come from one of 3 suppliers (A).
My question relates to the calculation and interpretation of F ...
0
votes
0answers
50 views
0
votes
0answers
115 views
Mean Square of Regression Error for categorical variables while computing F statistic
Give the annova table in the image below:
I need to calculate the F statistic for the null hypothesis: b2 = b3 = 0 .
b2 is cofficient of cylinder and b3 is the coefficient of doors. The formula used ...
1
vote
1answer
30 views
Which coeffcients are used for a F-statistic
I have an F-statistic, $F(4,10)$, my constant and 4 Coefficients $\beta_2 , \beta_3 , \beta_4$ and $\beta_5$
I already know that the (in this case) 10 reflects the number of obsverations. But what ...
2
votes
2answers
137 views
Calculating F-statistic, why is SS used instead of just $r^2$?
The calculations and question are for a simple regression (one independent and one dependent variable).
SSres = SSy * (1 - $r^2$)
SSreg = SSy * $r^2$
F = (SSreg / DFreg)/(SSres / DFres)
So, I've ...
0
votes
1answer
171 views
The F-statistic with all predictors vs. with predictors excluded
The F-statistic formula is:
$$
F=\frac{(TSS-RSS)/p}{RSS/(n-p-1)}
$$
Where $TSS$ is total sum of squares and is equal to $\sum_{i=1}^n(y_i-\bar{y})^2$ and $RSS$ is ...
1
vote
1answer
193 views
When do we reject a null hypothesis by looking at both P variable of f statistic and F statistic?
In which cases do we reject the null hypothesis ?
2
votes
0answers
89 views
Find the Sum of Squares and using them complete an F-test for goodness of fit
I have this question ( would be grateful if someone could put it on for me)
https://gyazo.com/5afe5d7c9d12acdff8f9c55db74f97c9
And I am concerned with part b).
I know what $RSS = SSE$ is due to the ...
1
vote
0answers
305 views
F-statistic and Linear Regression formula for slope?
One of the derivations of the Linear Regression Method leads to the following two formulas, for the slope and the intercept:
$$\begin{equation}
m = \frac{Cov(x, y)}{Var(x)} \label{eq:slope} \\
b ...
0
votes
1answer
566 views
Which is the correct F-beta-measure scoring formula?
I have found differing formulas to calculate the $Fbeta$ score, which changes the weight (influence) of $PPV$ ($Precision$) or $TPR$ ($Recall$) from the default of equality (i.e. $0.5$).
For example:
...
2
votes
2answers
117 views
F-statistics based method out of fashion?
I'm reading Elements of Statistical Learning and come across this paragraph right before section 3.3.3:
Other more traditional packages base the selection on F -statistics,
adding “significant” terms,...
1
vote
1answer
1k views
Stepwise regression based on F-statistic in R [closed]
I know that the stepAIC function in R allows us to perform stepwise regression but I was wondering if there's any option (or other function) to perform a F-...
0
votes
0answers
23 views
Link between Fisher and Chi-squared
I am fairly new to statistics, and during practice, i used this link between Chi-squared and F-statistics where F equals to ration between 2 Chi squared distributions. Can someone elaborate more on ...
1
vote
1answer
257 views
Multiple Regression F Statistic Proof
Currently working through Introduction to Statistical learning, and on page 76 I am struggling with the following:
They state the equation for the F statistic as:
$F = \frac{\frac{TSS − RSS}{p}} {\...
1
vote
0answers
109 views
Calculate statistics (estimate, confidence intervals, standard error) for a contrast matrix in ANOVA/ANCOVA/GLM
I am interested in calculating the relevant statistics for a contrast matrix in an ANOVA/ANCOVA/GLM setting. Kutner et al. call this the "matrix formulation" of the "general linear test". They give as ...
2
votes
2answers
468 views
ANOVA's f-statistic
While reading this blog on f-statistic in ANOVA, I stumbled upon the formula:
The f-statistic is calculated like this: $$\frac{\text {variance
between groups}}{\text {variance within groups}}$$...
1
vote
0answers
59 views
Is a high $R^2$ and F statistic evidence of autocorrelation?
Is a high $R^2$ and $F$ statistic between numeric data and its corresponding time evidence that the variable is serially autocorrelated?
For time series analysis, is it necessary to perform a test ...
1
vote
0answers
56 views
reporting average inferential statistics from bootstrapped dataset
For independent reasons, I'm working on two bootstrapped datasets, A and B, of the same size, each consisting of a 1000 samples. To compare the distributions of A and B, I ran a Fischer F-test on ...
0
votes
1answer
159 views
Interpreting non-significant coefficients when the entire linear model is significant
I've been using linear models (lm function in R) to determine if the the expression of certain proteins is associated with disease severity. Sometimes the ...
0
votes
1answer
282 views
F-statistics and coefficient p-value of model with only one variable
F-test tests the null hypothesis that all coefficient of variables in the model equal to zero.
P-value in a hypothesis test shows the probability of having observed results if null hypothesis is ...
2
votes
0answers
128 views
How to calculate F-statistic from glmnet
I understand how to obtain coefficients and MSE from glmnet. Now my question is: How can I calculate the goodness of fit of the model in terms of standard measures, ...
21
votes
2answers
7k views
Proof that F-statistic follows F-distribution
In light of this question : Proof that the coefficients in an OLS model follow a t-distribution with (n-k) degrees of freedom
I would love to understand why
$$ F = \frac{(\text{TSS}-\text{RSS})/(p-1)...
14
votes
3answers
24k views
Linear regression what does the F statistic, R squared and residual standard error tell us?
I'm really confused about the difference in meaning regarding the context of linear regression of the following terms:
F statistic
R squared
Residual standard error
I found this webstie which gave ...
4
votes
1answer
3k views
Does Newey-West standard errors affects the significance level of R2?
General question:
I use the linear regressions with the OLS method to check whether cross-sectional standard deviation is able to describe future sumed excess returns or not.
Because of ...
1
vote
0answers
279 views
Change the partial covariance matrix in a VAR with constant?
The computation of the partial covariance matrix formula in a VAR (without constant and time trend) is very well known. For example, in the context of the conditional Granger causality, they are given ...
1
vote
0answers
25 views
Statistic equivalent to F statistic with several factors?
In class we learned that if we want to perform a randomisation/permutation test on the hypothesis:
$H_0: y_{ij} = \mu_i + e_{ij}$ vs. $H_1: y_{ij} = \mu + e_{ij}$
Where we calculate the test $F$ ...
3
votes
1answer
51 views
How can the F statistic of my anova test be greater than 1?
I've been digging into the formula for one way ANOVA test and I understand the we obtain the results from the ANOVA analysis with:
...
2
votes
0answers
48 views
Why Does Sample Size Affect the Value of F-Statistic We Require to Reject the Null Hypothesis of No Relationship?
In studying for multiple linear regression, I came across a comment that says that given a large sample, a F-statistic slightly larger than 1 could suggest there is some relationship between the ...
1
vote
0answers
555 views
When to include or reject interaction term in two variable linear regression
I am studying a treatment that degrades device quality and performed an independent sample test on two batches that had different initial quality. I analyzed the data with a two variable linear ...
2
votes
1answer
125 views
Why does the J-test yield a $\chi^2$ distribution?
My econometrics professor recently introduced us to the J-test. To perform the J-test, he gave us the following procedure:
Estimate $\mathbf{b}^{2SLS}$ and using this, define $\hat{U}_n$ residuals ...
2
votes
1answer
1k views
F-test differences Stata and R
I have a question about what the difference is in how Stata and R compute ANOVAs. I have run exactly the same ANOVA in both softwares, but curiously get a different F-statistics for one of the ...
0
votes
1answer
236 views
The square of each t-statistics is the corresponding F-statistics
The below text is from statistical learning Page 76-77. The data used in the following example can be found here .
I just want to know
how to calculate $RSS_0$ (It is different from TSS)
As ...
1
vote
0answers
19 views
What's the value of f1 score when true positives are zero? [duplicate]
f1 score is defined as F1 = 2 * (precision * recall) / (precision + recall)
However if true positives are zero, this gives 0/0. How to deal with this scenario?
1
vote
0answers
371 views
Justification for AIC/BIC vs F-statistic when using stepwise backward elimination
I note that some stepwise backwards elimination methods use AIC to make the decision about which variables to eliminate, and others use the F-statistic. Why would I use one over the other, and is ...
0
votes
1answer
1k views
R-squared and F-stat in dummy variables regression vs panel FE model
When estimating a Fixed Effects model on panel data and an equivalent dummy variables regression, the coefficient estimates and associated SEs are identical. However, the R-squared and F-statistic are ...
8
votes
1answer
328 views
Why ever use F-statistic?
We can use F-statistic for determining whether at least one of the predictors has an effect on the response. But why just not take minimal p-value across all predictors? It doesn't require introducing ...
