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I am comparing the performance of two models and have calculated the coefficient of determination R squared for each. I would like however to test the significance of this value.

The F test however requires that the number of degrees of freedom for each model. The trouble is one model operates in a lower dimensional domain, by projecting the data into PCA domain. Therefore I am not sure on the degrees of freedom for this model as I have degrees of freedom in the PCA domain and then a projection operator to obtain my values of the dependent variable.

Has anyone any ideas how to proceed, in this case, or perhaps the suggestion for an alternative test statistic.

Thanks

Emma

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# F test for R^2 when comparing two models

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