In the Generalized Regression report, the model fit reports for self-validated ensemble models contain sections that describe the model fit.
The Parameter Estimates section contains estimates and other results for all parameters in the ensemble model. The initial table includes the coefficients for the predictors in the model. An additional table includes other model parameters such as scale, dispersion, or zero inflation parameters. See Specify a Distribution. Both tables include the same columns of results.
The report provides the following information:
Term
A list of the model terms. “Forced in” appears next to any terms that were forced into the model using the Advanced Controls option.
Resampling Estimate
The average of the parameter estimates of the model term in the individual models. For the normal distribution, this average value is the parameter estimate in the ensemble model.
Resampling Std Dev
The standard deviation of the estimates of the model term in the individual models. For the normal distribution, this value is the estimate of the parameter standard deviation in the ensemble model.
Percent Nonzero
(Does not appear in the additional table in the Parameter Estimates section.) The percent of individual models that contain a nonzero estimate for each model term. Model terms that are not included in as many of the individual models are less important than model terms that are included in more of the individual models.
The Sample Fit Quality section contains a table of summary statistics for each of the individual models in the ensemble. The table contains the following columns:
Sample
The number of the individual model.
Nonzero Predictors
The number of predictors in each individual model that are nonzero.
Training MSE
The mean square error for the training set in each individual model.
Validation MSE
The mean square error for the validation set in each individual model.
The Sample Parameter Estimates section contains a table of the parameter estimates in the individual models. Each row of the table corresponds to an individual model in the ensemble. The first column contains the number of the individual model and the remaining columns correspond to the model terms.