What does the "stats" output from the REGRESS function mean in Statistics Toolbox 5.0.2 (R14SP2)?

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MathWorks Support Team 2013-4-24

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When looking at the documentation for the REGRESS function by typing "doc regress" at the MATLAB prompt, it shows the syntax:

[b,bint,r,rint,stats] = regress(y,X)

In explaining the "stats" vector, it simply says "the vector stats contains the R2 statistic along with the F and p values for the regression." I would like a more detailed description of this vector.

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Answer 1

MathWorks Support Team 2013-4-24

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This change has been incorporated into the documentation in Release 14 Service Pack 3 (R14SP3). For previous releases, read below for any additional information:

The fifth return value of the REGRESS function in Statistics Toolbox 5.0.2 (R14SP2) is a 1-by-4 vector of doubles. It is defined as follows:

stats = [r2 F prob s2];

Each of these values are computed as described below:

- "r2" is the r-squared statistic defined as 1-SSE/TSS with SSE being the "error sum of squares" and TSS the "total sum of squares."

- "F" is the F-statistic.

- "prob" is the p-value of the F-statistic.

- "s2" is the estimator of error variance defined as the square of the root mean square error (RMSE) value.