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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.

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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 ...
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91 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, $\beta$ ...
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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 ...
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23 views

find F-statistic using R output

I have this R output: ...
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21 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 ...
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26 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 ...
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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 ...
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How should one compute the p-values of a two sided F test?

I have been studying this link. However, i can't really figure out how to calculate the p value for a 2 sided F test where the degrees of freedom are different and the F distribution is asymmetric. I ...
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37 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 ...
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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 ...
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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 ...
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168 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: ...
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106 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” ...
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693 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-...
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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 ...
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106 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}} {\...
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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 ...
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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: $$\frac{\text {variance between groups}}{\text {variance within groups}}$$...
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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 ...
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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 ...
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95 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 ...
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145 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 ...
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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, ...
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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)...
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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 ...
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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 ...
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141 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 ...
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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 $F$ ...
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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: ...
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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 ...
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62 views

Probing Model's Accuracy in Imbalanced Dataset using Negative Prediction Values

I am trying to evaluate the integrity of a model using various accuracy parameters. I am trying to predict the retirement events in a given year at a company. The data set is highly imbalanced as we ...
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458 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 ...
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87 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 ...
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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 ...
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80 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 ...
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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?
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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 ...
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747 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 ...
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249 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 ...
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Out Of Time variance test method and threshold for logistic regression models

I am interested in designing a test statistic for checking the out-of-time variance of a logistic regression model relative to the model development sample at an observation level. We did something ...
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1answer
4k views

Interpreting the f ratio in linear regression in r

The last string of my output in r is: F-statistic: 181.4 on 15 and 2380 DF, p-value: < 2.2e-16 How do I interpret this result? While I understand that the f value is a ratio that compares the ...
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Why OLS F Statistic close to one when there is no relationship?

I might be missing something obvious here. In linear regression, F statistic is defined as (explained variance / p) / mean squared error, where p is number of independent variables. When there is no ...
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656 views

Intuitive explanation of the F-statistic formula?

Introduction to Statistical Learning defines the F-statistic as follows: $$\frac{(TSS - RSS) / p}{RSS / (n - p - 1)}$$ I am trying to interpret this formula intuitively - the numerator looks like the $...
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119 views

Changes in F-value of instrument

I am using 2SLS to estimate the effect of education on the probability that one works. In the first stage I regress education on my instrument and the other exogenous control variables. The same ...
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1answer
1k views

F-Statistic: Levene's Test vs. Two-Sample

I'm trying to get my head around the calculation of the critical F-Statistic for testing the equality of variances using two different tests. I have 2 groups (n=12) and (m=11). Trying to do a two ...
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1answer
835 views

Granger causality result interpretation in R

I am unable to interpret what this means.T2 is a zoo object containing two two price series. MSBVAR library of ...
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1k views

Using results of Canonical Discriminant Analysis to get overall variable importance?

I have a dataset with thousands of observations pre-assigned to 18 groups and with measures for 8 different variables. I am using canonical discriminant analysis to see how separable my 18 groups are. ...
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14k views

Calculate the F1 score of precision and recall in R

Alright so I want to calculate the F1 score for four pair of values for Precision P and Recall R. These pairs are: ...
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1answer
3k views

Calculating the “critical value” for F test

I'm following along here: http://reliawiki.org/index.php/Multiple_Linear_Regression_Analysis#Calculation_of_the_Statistic I've successfully made all of the calculations up to $f_0=211.9$. Now I need ...