Why is the RMSE returned by the Linear Fit deviating the sqrt(sum(residuals^2)/n)?I am confused regarding the Root Mean Square Error reported in the "Summary of Fit" in the Linear Fit platform.
x = [1.309, 1.471, 1.49, 1.565, 1.611, 1.68];
y = [2.138, 3.421, 3.597, 4.34, 4.882, 5.66];
{Estimates, Std_Error, Diagnostics} = Linear Regression( y, x, <<PRINTTOLOG></PRINTTOLOG>The result of the last line:
rmse_lin_reg = 0.111508840972607;
rmse_lin_fit = 0.136569881096024;
What is wrong here?
Thank you
AnalyticsScriptingRe: Why is the RMSE returned by the Linear Fit deviating the sqrt(sum(residuals^2)/n)?Hi @ragnarl,
I can see how this appear contradictory! All mean squares involve dividing a sum of squared deviations by their degrees of freedom. In your formula working with the results of LinearRegression() you appear to be dividing by n, not df.
rmse_lin_reg=sqrt(sum((z-y)^2)/nrows(y));
The degrees of freedom for the mean squared error in a simple linear regression is n-2 (1 df lost to estimating the intercept, and 1 more is lost to estimating the slope of x). If you adjust your script as below to have rmse_lin_reg=sqrt(sum((z-y)^2)/(nrows(y)-2)) you will find the same value for MSE (and thus RMSE).
I hope this helps!
@julian
x = [1.309, 1.471, 1.49, 1.565, 1.611, 1.68];
y = [2.138, 3.421, 3.597, 4.34, 4.882, 5.66];
{Estimates, Std_Error, Diagnostics} = Linear Regression( y, x, <<PRINTTOLOG></PRINTTOLOG>
returns
rmse_lin_reg = 0.13656988109602;
rmse_lin_fit = 0.13656988109602;
