MATLAB: What does the “stats” output from the REGRESS function mean in Statistics Toolbox 5.0.2 (R14SP2)

Statistics and Machine Learning Toolbox

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.

Best Answer

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.
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