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 ______________________________________________ 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.