Apologies: that should have been sum(residual^2)! > -----Original Message----- > From: Dimitri Liakhovitski [mailto:ld7...@gmail.com] > Sent: Monday, April 13, 2009 4:35 PM > To: Liaw, Andy > Cc: R-Help List > Subject: Re: [R] Random Forests: Question about R^2 > > Andy, > thank you very much! > One clarification question: > > If MSE = sum(residuals) / n, then > in the formula (1 - mse / Var(y)) - shouldn't one square mse before > dividing by variance? > > Dimitri > > > On Mon, Apr 13, 2009 at 10:52 AM, Liaw, Andy > <andy_l...@merck.com> wrote: > > MSE is the mean squared residuals. For the training data, the OOB > > estimate is used (i.e., residual = data - OOB prediction, MSE = > > sum(residuals) / n, OOB prediction is the mean of > predictions from all > > trees for which the case is OOB). It is _not_ the average > OOB MSE of > > trees in the forest. > > > > I hope there's no question about how the pseudo R^2 is computed on a > > test set? If you understand how that's done, I assume the > confusion is > > only how the OOB MSE is formed. > > > > Best, > > Andy > > > > From: Dimitri Liakhovitski > >> > >> Dear Random Forests gurus, > >> > >> I have a question about R^2 provided by randomForest (for > regression). > >> I don't succeed in finding this information. > >> > >> In the help file for randomForest under "Value" it says: > >> > >> rsq: (regression only) - "pseudo R-squared'': 1 - mse / Var(y). > >> > >> Could someone please explain in somewhat more detail how > exactly R^2 > >> is calculated? > >> Is "mse" mean squared error for prediction? > >> Is "mse" an average of mse's for all trees run on out-of-bag > >> holdout samples? > >> In other words - is this R^2 based on out-of-bag samples? > >> > >> Thank you very much for clarification! > >> > >> -- > >> Dimitri Liakhovitski > >> MarketTools, Inc. > >> dimitri.liakhovit...@markettools.com > >> > >> ______________________________________________ > >> R-help@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. > >> > > Notice: This e-mail message, together with any > attachments, contains > > information of Merck & Co., Inc. (One Merck Drive, > Whitehouse Station, > > New Jersey, USA 08889), and/or its affiliates (which may be known > > outside the United States as Merck Frosst, Merck Sharp & Dohme or > > MSD and in Japan, as Banyu - direct contact information for > affiliates is > > available at http://www.merck.com/contact/contacts.html) that may be > > confidential, proprietary copyrighted and/or legally > privileged. It is > > intended solely for the use of the individual or entity > named on this > > message. If you are not the intended recipient, and have > received this > > message in error, please notify us immediately by reply e-mail and > > then delete it from your system. > > > > > > > > -- > Dimitri Liakhovitski > MarketTools, Inc. > dimitri.liakhovit...@markettools.com > Notice: This e-mail message, together with any attachme...{{dropped:12}}
______________________________________________ R-help@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.