Estimated error of prediction, assuming multivariate normality.
An object of class
Estimated error of prediction of the model.
Computes the estimated mean square error of prediction assuming that both independent and dependent variables are multivariate normal. $$MSE(n + 1)(n - 2) / n(n - p - 1)$$
where \(MSE = SSE / (n - p)\), n is the sample size and p is the number of predictors including the intercept
Stein, C. (1960). “Multiple Regression.” In Contributions to Probability and Statistics: Essays in Honor of Harold Hotelling, edited by I. Olkin, S. G. Ghurye, W. Hoeffding, W. G. Madow, and H. B. Mann, 264–305. Stanford, CA: Stanford University Press.
Darlington, R. B. (1968). “Multiple Regression in Psychological Research and Practice.” Psychological Bulletin 69:161–182.
model <- lm(mpg ~ disp + hp + wt + qsec, data = mtcars) ols_msep(model)#>  8.181044