Hi,
I have optimized the shrinkage parameter (GCV)for ridge and got my r2
value is 70% . to check the sensitivity of the result, I did permutation
test. I permuted the response vector and run for 1000 times and draw a
distribution. But now, I get r2 values highest 98% and some of them more
than 70 %. Is it expected from such type of test?
*I was under impression that, r2 with real data set will always maximum! And
permutation will not be effected i.e. permuted r2 will always less than real
one! *
**
thanks a lot
Alex
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