fTestTargetY function

F-test for a nested model comparison.

Used as a subroutine in InvariantTargetPrediction to test whether out-of-sample prediction performance is better when using X and E as predictors for Y, compared to using X only.

fTestTargetY(Y, predictedOnlyX, predictedXE, verbose, ...)

Arguments

• Y: An n-dimensional vector.
• predictedOnlyX: Predictions for Y based on predictors in X only.
• predictedXE: Predictions for Y based on predictors in X and E.
• verbose: Set to TRUE if output should be printed.
• ...: The dimensions of X (df) and E (dimE) need to be passed via the ... argument to allow for coherent interface of fTestTargetY and wilcoxTestTargetY.

Returns

A list with the p-value for the test.