Dear Colleagues ... Greetings
I would like to compare some robust regression methods based on the bootstrap technique. the comparison will be by using Monte-Carlo simulation (the regression coefficients are known) so, I wonder how can I bootstrap the determination coefficient and MSE.
Thanks in advance
Huda
Here is a relevant article by Ohtani (2000) that comes in handy.
Ohtani, K. (2000). Bootstrapping R2 and adjusted R2 in regression analysis. Economic Modelling, 17(4), 473-483. https://doi.org/10.1016/s0264-9993(99)00034-6
Article Bootstrapping R 2 and adjusted R 2 in regression analysis
Good luck,
Hi Huda A. Rasheed , basically (1) you take a sample of your data, a sample with replacement, then (2) you calculate your model/R2/MSE with the sample, and finally (3) you repeat steps (1) and (2) many times, typically hundreds or thousands of times. With the re-sampled R2s/MSEs you can calculate empirical statistics as e.g. the confidence interval of the R2 and MSE
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