#R-function for cross-validated R² (see pages 49-52 i BS)

 

 

# Below is given a function that may compute cross-validated R² (see pages 49-52 i BS)

# Copy the commands and paste them into the command-window of R:

 

kryssvalidR2<-function(lmobj,y=lmobj$y,x=lmobj$x)

{

? ?a=t(x)%*%x

? ?d=diag(1/eigen(a)$values)

??e=eigen(a)$vector

? ?inv.a=e %*% d %*% t(e)

? ?v<-diag(x%*%inv.a%*%t(x))

? ?SSkryss<-sum((lmobj$res/(1-v))^2)

? ?SStot<-sum((y-mean(y))^2)

? ?R2kryss<-1-SSkryss/SStot

? ?R2kryss

}

 

 

# To use the function, you first fit a linear regression model by a command of the form lmobj<-lm(y~x1+x2+x3+x4+x5, x=T, y=T)

# (note that you need to include the options "x=T" and "y=T")

# Then you compute cross-validated R² by the command kryssvalidR2(lmobj)