Getting Started with E2P Simulator

Welcome to E2P Simulator! This guide will help you understand what it does, why it is needed, and how to use it.

What is E2P Simulator?

E2P Simulator (Effect-to-Prediction Simulator) is an interactive open-source tool that allows researchers to visually and quantitatively explore the relationships between effect sizes (e.g., Cohen's d, Pearson's r), discriminative ability (e.g., ROC-AUC, sensitivity, specificity), predictive value (e.g., PPV, NPV, PR-AUC), and clinical utility (Net Benefit), while accounting for measurement reliability and outcome base rates (Karvelis & Diaconescu, 2025).

As such, it provides an easy way to perform predictive utility analysis: estimating how research findings will translate into real-world prediction or what effect sizes or discriminative ability are needed to achieve a desired level of predictive value and clinical utility. Similar to how power analysis tools (such as G*Power) help researchers plan for statistical significance, E2P Simulator helps plan for practical significance.

E2P Simulator has several key applications:

Why is E2P Simulator needed?

Many research areas such as biomedical, behavioral, education, and sports sciences are increasingly studying individual differences to build predictive models to personalize treatments, learning, and training. Identifying reliable biomarkers and other predictors is central to these efforts. Yet, several entrenched research practices continue to undermine the search for predictors:

Together, these issues undermine the quality and impact of academic research, because routinely reported metrics do not reflect real-world utility. Whether researchers focus on achieving statistical significance of individual predictors or optimizing model performance metrics like accuracy and ROC-AUC, both approaches often lead to unrealistic expectations about practical impact. In turn, this results in inefficient study planning, resource misallocation, and considerable waste of time and funding.

E2P Simulator is designed to address these fundamental challenges by placing measurement reliability and outcome base rate at the center of study planning and interpretation. It helps researchers understand how these factors jointly shape real-world predictive utility, and guides them in making more informed research decisions. For a detailed analysis of these issues in the context of psychiatry research, see Karvelis et al. (2025).

How to use E2P Simulator

E2P Simulator is designed to be intuitive and interactive. You can explore different scenarios by adjusting effect sizes, measurement reliability, base rate, and decision threshold, and immediately see how these changes impact predictive performance through the visualizations and metrics. Still, in this section we will highlight and clarify some of the key features and assumptions of the simulator.

Binary vs. Continuous Outcomes

E2P Simulator provides two analysis modes that cover the two most common research scenarios:

Measurement Reliability and True vs. Observed Effects

Measurement reliability attenuates observed effect sizes, which in turn reduces predictive performance. The simulator allows you to toggle between "true" effect sizes (what would be observed with perfect measurement) and "observed" effect sizes (what we actually see given imperfect reliability). The reliability of continuous variables (predictors or outcomes) is specified using the Intraclass Correlation Coefficient (ICC), which typically corresponds to test-retest reliability. For binary variables, reliability is specified using Cohen's kappa (κ), which usually represents inter-rater reliability.

For continuous outcomes, where both the predictor and outcome are continuous, the relationship between true and observed Pearson's r is given by:

\[r_{\text{observed}} = r_{\text{true}} \times \sqrt{ICC_{\text{predictor}} \times ICC_{\text{outcome}}}\]

For binary outcomes, where a continuous predictor is used to classify a binary outcome, the relationship between true and observed Cohen's d is:

\[d_{\text{observed}} = d_{\text{true}} \times \sqrt{\frac{2 \times ICC_1 \times ICC_2}{ICC_1 + ICC_2} \times \sin(\frac{\pi}{2} \kappa)}\]

Here, \(ICC_1\) and \(ICC_2\) denote the reliability of the continuous predictor in each of the two outcome groups, and \(\kappa\) is the reliability of the binary outcome classification (e.g., interrater reliability of a diagnosis).

See Karvelis & Diaconescu (2025) for more details on how reliability attenuates individual and group differences.

Note that the simulator does not account for sample size limitations, which can introduce additional uncertainty around the true effect size through sampling error.

Base Rate

Base rate (also referred to as prevalence) refers to the proportion of individuals in the population who have the outcome of interest before considering any predictors or test results (in Bayesian terms, this is the prior probability of the outcome). To estimate real-world predictive utility, the base rate should be set to reflect the population where your predictor or model will actually be used — not the composition of your study sample. This distinction is crucial because research studies often use case-control designs with balanced sampling (e.g., 50% cases, 50% controls) that do not reflect real-world base rate. This is one of the most commonly overlooked problems in evaluating prediction models (Brabec et al., 2020), as the base rate directly affects multiple metrics used for model evaluation (see Understanding Predictive Metrics).

For instance, if you are developing a model for a rare disorder that affects 2% of the general population, the base rate should be set to 2%, even if your training dataset contains equal numbers of cases and controls. However, if your model will be used in a pre-screened high-risk population where the disorder base rate is 20%, then 20% becomes the relevant base rate (however, in this scenario, the effect size should also reflect the difference between cases and high-risk controls rather than general population controls).

Multivariable Simulators

Both binary and continuous outcomes analysis modes include multivariable simulators that help estimate how many predictors with a given effect size need to be combined to achieve a desired level of predictive performance. These simulators provide an idealized estimate of multivariable model performance without having to train the full models, making them useful for research planning and model development. The simulators illustrate how increasing the number of predictors improves performance while also showing how collinearity leads to diminishing returns, demonstrating that small effects do not add up as quickly as many researchers might intuitively expect.

For binary outcomes, the simulator displays ROC-AUC and PR-AUC. ROC-AUC provides a threshold-independent measure of discriminative ability while PR-AUC accounts for the base rate to reflect real-world performance with imbalanced outcomes. The conversion from multiple predictors to ROC-AUC is done via Mahalanobis D, a multivariate generalization of Cohen's d, which allows you to start from familiar effect size metrics.

For continuous outcomes, the simulator displays total variance explained (R²) and PR-AUC. R² provides the standard measure of predictive performance in regression models, while PR-AUC accounts for the base rate to reflect real-world classification performance. The conversion from R² to PR-AUC is done by dichotomizing the continuous outcome at the base rate threshold, which allows you to assess how well the model would perform if used to make binary decisions (e.g., identifying the top 20% of patients most likely to benefit from treatment).

Assumptions and Limitations

The multivariable simulators are based on several simplifying assumptions:

Even though real-world predictors will often not be normally distributed and will vary in their individual strengths and collinearity, the general trends (such as diminishing returns and the impact of shared variance among the predictors) remain informative for understanding multivariate relationships and estimating expected model performance.

Understanding Predictive Metrics

Classification Outcomes and Metrics

When using a predictor to classify cases into two groups, there are four possible outcomes: True Positives (TP), False Positives (FP), False Negatives (FN), and True Negatives (TN). These form the basis for all predictive metrics.

Prediction metrics diagram showing confusion matrix and all derived metrics

The image above illustrates how these four outcomes are used to derive classification metrics. On the left, you can see how negative (e.g., controls) and positive (e.g., cases) distributions overlap and how a classification threshold (red line) creates these four outcomes. On the right, you can see the confusion matrix and the formulas for key metrics derived from it. Note how some metrics have multiple names (e.g., sensitivity/recall/TPR, precision/PPV) – this reflects how the same concepts are referred to differently across fields like medicine, cognitive science, and machine learning.

A short summary of each metric:

Threshold-Independent Metrics

ROC and Precision-Recall curves showing AUC calculation

Some metrics evaluate performance across all possible thresholds and can serve as a better summary of the overall model performance. These include:

Both ROC-AUC and PR-AUC represent areas under their respective curves and are mathematically expressed as integrals:

\[ROC\text{-}AUC = \int_0^1 TPR(FPR) \, d(FPR)\]
\[PR\text{-}AUC = \int_0^1 PPV(TPR) \, d(TPR)\]

These integrals are computed using trapezoidal numerical integration.

Decision Curve Analysis (DCA)

Decision Curve Analysis (Vickers & Elkin, 2006) evaluates the clinical utility of a predictive model or a single predictor by explicitly balancing the costs of false positives against the benefits of true positives.

Decision Curve Analysis example showing net benefit curves and shaded areas representing different strategies

A DCA plot typically includes three key curves:

The net benefit formula accounts for both the benefits of true positives and the costs of false positives:

\[NB = \frac{TP}{N_{total}} - \frac{FP}{N_{total}} \times \frac{p_t}{1-p_t}\]

Where Ntotal is the total sample size, and pt is the threshold probability. It represents the minimum predicted probability of an outcome at which you would decide to intervene (e.g., diagnose or treat). For instance, if pt = 0.10, you would intervene for anyone with a predicted risk ≥ 10%. The choice of pt determines a specific balance between sensitivity (finding true cases) and specificity (avoiding false alarms). The ratio pt/(1-pt) is the harm assigned to a false-positive intervention relative to the benefit assigned to a true-positive intervention. Its reciprocal, (1-pt)/pt, is the corresponding number of false-positive interventions tolerated per true-positive intervention. Thus, pt = 0.10 gives a false-positive harm weight of 1/9 and corresponds to accepting up to 9 false-positive interventions for each true-positive intervention. The optimal pt can be estimated as:

\[p_t = \frac{C_{FP}}{C_{FP} + C_{FN}}\]

Where CFP is the cost of a false positive (unnecessary intervention) and CFN is the cost of a false negative (missed positive case). pt can also be estimated through expert surveys, stakeholder preferences, or established guidelines.

For population screening, pt is typically set low because missing true cases is costlier than unnecessary follow-ups, so more false positives are acceptable. For diagnostic confirmation (e.g., before initiating high-risk treatment), pt is set higher to avoid false positives, reflecting a preference for specificity. As a rule of thumb, screening scenarios may use pt in the 1–10% range, whereas diagnostic decisions often warrant much higher pt (for example 30–70% or more), depending on harms and preferences.

What we often want to know is not the absolute NB, but added value. ΔNB (Delta Net Benefit) measures this additional utility by comparing the model against the better of the two simple strategies (either All or None) at a specific threshold probability:

\[\Delta NB = NB_{\text{model}} - \max(NB_{\text{All}}, NB_{\text{None}})\]

At each threshold probability, the model's net benefit is compared against whichever simple strategy performs better at that threshold. This provides a more conservative and meaningful assessment of the model's added value. A positive ΔNB indicates that the predictive model offers genuine improvement over the best simple strategy, while values near zero suggest that simple strategies may be equally effective.

DCA is particularly valuable because it:

For more information about DCA, visit https://mskcc-epi-bio.github.io/decisioncurveanalysis.

Predictive Utility Analysis

Predictive utility analysis consists of two key components: (1) estimating real-world predictive value and clinical utility of research findings by accounting for the outcome base rate, and (2) determining how much performance is lost due to measurement reliability.

Predictive utility analysis can be applied in two main scenarios: interpreting existing research findings and planning new studies. Each scenario follows a different workflow, as outlined below.

1. Interpreting Existing Research Findings

When evaluating published research or your own completed studies, the workflow starts with observed metrics and works forward to understand real-world utility:

  1. Set measurement reliability: Ideally, reliability estimates should come directly from the same data set as the observed effect sizes. If not available, use expected estimates based on other relevant research in the field. In principle, one could perform predictive utility analysis by ignoring measurement reliability (setting all reliabilities to 1, for example). This would still allow to estimate real-world utility, but we would not know how diminished predictive performance is due to measurement reliability.
  2. Set observed metrics: This can be effect size (e.g., Cohen's d, Pearson's r) or predictive performance metric (e.g., ROC-AUC, PR-AUC). It is important to ensure that you are using a robust estimate here (not inflated due to small sample or overfitting).
  3. Set base rate: Set the base rate to reflect the expected prevalence in the real-world conditions where the predictor or model will be applied — not the composition of the study sample. For example, if the study used a balanced case-control design (50% cases, 50% controls) but the condition affects only 5% of the target population, use 5% as the base rate to accurately estimate real-world predictive utility.
  4. Set the decision threshold: The left-panel slider (and the red line) set the score threshold; the adjacent number is the corresponding threshold probability pt. Edit pt to choose a clinical harm–benefit trade-off (Bayes' rule moves the score), or drag the slider/red line to set the score (pt updates). When you change effect size, reliability, or base rate, the score stays put and the implied pt refreshes.
  5. Document relevant metrics: Note down all the relevant metrics for the chosen threshold: ROC-AUC, PR-AUC, PPV, NPV, and Net Benefit. These metrics provide a comprehensive picture of the predictor's real-world utility.

2. Planning Studies

When planning new research, the workflow starts from desired clinical utility and works backward to determine what effect sizes and study design are needed:

  1. Identify clinically meaningful targets: Start by determining what level of PR-AUC, PPV, NPV, or Net Benefit would be clinically meaningful in your specific context. These targets should reflect the minimum utility needed to justify using the predictor in practice. This could come from performing cost-benefit analysis, or from existing guidelines, or from using already existing clinical instruments as a benchmark.
  2. Determine required effect sizes: Use the simulator to determine how these clinical targets translate to the needed effect sizes (e.g., Cohen's d, ROC-AUC) by setting the base rate to the expected prevalence in the real-world setting where the predictor or model will be applied. Compare these required effect sizes with typical effect sizes found in relevant research literature to assess feasibility.
  3. Explore ways to improve performance: Use the simulator to explore how much closer you can get to your goal by:
    • Improving measurement reliability of each predictor (e.g., using more reliable assessment methods or improving measurement protocols)
    • Using multiple predictors: estimate how many predictors are needed to achieve a desired prediction performance. For average effect size and average collinearity among predictors you can pick what is common in the field or what you find in your own data. Using these values in the multivariable calculator will provide you with a rough estimate of how well a multivariable model would perform without even needing to train it.
  4. Assess feasibility: This analysis can help determine the feasibility of both individual markers and multivariable models.

Quick Start Examples

To further clarify how the tool can be used and to demonstrate its utility, we provide some specific examples.

Example 1. Diagnostic Prediction: FDA-Cleared Biomarker for Alzheimer's Disease

Recently, FDA has cleared plasma p-tau217/Aβ42 ratio for assessing amyloid positivity, which is a key criterion for Alzheimer's diagnosis. Let us unpack this example in E2P Simulator as an anchor for all other examples. We will use the report that FDA clearance was based on as a reference for the parameters.

  1. In the Binary outcome mode:
    • Set the base rate to 51.1%. This is the amyloid positivity prevalence in the clearance cohort, which consists of individuals with mild cognitive impairment. Note, in practice we may expect this to vary between ~ 20% to 80% depending on the average age of the cohort (Jansen et al., 2015).
    • Set the outcome reliability to 0.9, which is the reliability of PET/CSF reference agreement used to confirm amyloid positivity in the clearance cohort (Harn et al., 2017).
    • Set the predictor reliability for both groups to 0.9 (test-retest reliability of the assay components; Della Monica et al., 2024).
    • Setting the effect size in this case is a bit tricky because it is not reported. However, we can instead use the reported PPV and NPV. The report used two thresholds, one for PPV and one for NPV, leaving ~20% of results indeterminate and requiring confirmatory PET/CSF. We only need to consider the positive threshold to recreate the distributions. The report shows 201 true positives and 18 false positives. If indeterminate and negative test results are grouped together as not positive, there are also 54 false negatives (49 + 5) and 226 true negatives (49 + 177). This gives PPV = 201/(201 + 18) ≈ 0.92 and NPV = 226/(226 + 54) ≈ 0.81. We then adjust the effect size and classification threshold until we achieve these values.
  2. We find this corresponds to observed effect size d = 2.25, yielding ROC-AUC = 0.94 and PR-AUC = 0.95. We also find that the positive threshold corresponds to pt ≈ 0.68, recovering PPV = 0.92, NPV = 0.81, and resulting in ΔNB = 0.327 — about 327 net true positives per 1,000 people when diagnosis is based on this biomarker.
  3. Measurement reliability in this case is already very high and improving it will not result in a substantial improvement in predictive performance.
  4. Even if the base rate drops to 30% (e.g., younger mild cognitive impairment cohorts), the scenario still yields PR-AUC = 0.89.
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Example 2. Diagnostic Prediction: Depression

Suppose we want to use a cognitive biomarker to identify depression in the general population. Consider finding a cognitive biomarker with Cohen's d = 0.8 between healthy controls and people diagnosed with depression. Such an effect size is rare in practice and would conventionally be interpreted as “large”; for comparison, effects for some of the strongest cognitive markers of depression, including negative interpretation bias and reduced autobiographical memory specificity, are below d = 0.8 (Everaert et al., 2017; Weiss-Cowie et al., 2023).

  1. In the Binary outcome mode:
    • Set base rate to 8% (rounded from national estimates of 9.2% in Americans aged ≥12 and 7.7% in Canadians aged ≥15; Goodwin et al., 2022; Halladay et al., 2026).
    • Set the outcome reliability to 0.28 (depression diagnosis reliability based on DSM-5 field trials; Regier et al., 2013)
    • Set the predictor reliability for both groups to 0.6 (an average reliability for cognitive measures; Karvelis et al., 2023)
    • Set the observed effect size to d = 0.8.
  2. With these parameters, the observed Cohen's d = 0.8 will yield ROC-AUC = 0.71 and PR-AUC = 0.19. This means that even with a "large" effect size of 0.8, the predictive utility remains rather modest, especially when it comes to the tradeoff between PPV and Sensitivity (as shown by the low PR-AUC). Using the DCA plot to set the classification threshold to correspond to 15% risk, pt = 0.15, we obtain PPV = 0.22, Sensitivity = 0.31, and ΔNB = 0.009. At this threshold, 78% of positive classifications would be false positives while still missing 69% of actual cases; the ΔNB of 0.009 means only about 9 net true positives per 1,000 people when diagnosis is based on this biomarker.
  3. Note that with the low reliability values, this observed effect corresponds to a much larger true effect, d = 1.58, and in turn much better predictive performance, with ROC-AUC = 0.87 and PR-AUC = 0.46. To view this ideal-reliability scenario, select the True view and set pt = 0.10. This gives PPV = 0.27, Sensitivity = 0.74, and ΔNB = 0.041 (about 41 net true positives per 1,000 people when diagnosis is based on this biomarker), highlighting how much improvement in diagnostic prediction could be achieved by improving measurement reliability.
  4. To examine whether combining cognitive markers could achieve PR-AUC = 0.80, set the base rate to 8% and the target ROC-AUC to 0.965. When each predictor has d = 0.8 and the average collinearity is ρ = 0.05, 20 predictors are needed. If the predictors are uncorrelated (ρ = 0.00), 10 predictors with the same effect size are needed. If each predictor instead has d = 1.35, 5 predictors are sufficient even with higher collinearity (ρ = 0.10).
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Example 3. Treatment Response Prediction: Antidepressants

Can multiple task-fMRI measures be combined in a multivariable model to predict antidepressant treatment response? Across recent studies, these models explain about 20% of the variance in treatment outcomes (Karvelis et al., 2022). Here the outcome is symptom change measured on a continuous scale, while the clinical question divides patients into responders and non-responders. With treatment response as the positive group, the relevant base rate is the proportion of treated patients expected to respond. We use 46%, based on a recent meta-analysis of SSRI trials in which response was defined as a ≥50% reduction in MADRS scores (Hieronymus et al., 2025).

  1. Select Continuous outcome mode:
    • Set base rate to 46%.
    • Set predictor reliability to 0.4 (average reliability for task-fMRI measures; Elliott et al., 2020)
    • Set outcome reliability to 0.95 (MADRS inter-rater reliability; Geijer et al., 2021)
    • Set the true correlation to r = 0.73, which yields an observed R² = 0.20 after accounting for the predictor and outcome reliabilities.
  2. This yields ROC-AUC = 0.71 and PR-AUC = 0.66, indicating rather modest predictive performance, as shown by the low PR-AUC. We use an illustrative threshold of pt = 0.20, somewhat higher than the threshold used for screening because acting on the prediction now entails exposure to adverse effects and the burden and delay associated with an ineffective treatment. At pt = 0.20, we observe Sensitivity = 0.98, PPV = 0.48, and ΔNB = 0.005. High sensitivity here means most non-responders are still treated (specificity ≈ 0.12, so 88% of non-responders receive treatment), and among those treated only 48% respond; the ΔNB of 0.005 means only about 5 additional responders per 1,000 people when using this model for the treatment decision. Improving measurement reliability alone could improve performance quite substantially, up to ROC-AUC = 0.85 and PR-AUC = 0.83. To view this ideal-reliability scenario at the same pt = 0.20, select the True view. This gives Sensitivity = 0.95, PPV = 0.59, and ΔNB = 0.035.
  3. To examine what would be needed to achieve PR-AUC = 0.80, set the base rate to 46% and target R² to 0.47 in the multivariable simulator. With r = 0.30 for each predictor and collinearity ρ = 0.15, 20 predictors are needed to reach the target. If r = 0.25, the curve levels off below R² = 0.47, so the target cannot be reached by adding more predictors.
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Example 4. Risk Prediction: Suicide Attempts

Clinicians rate prediction of suicidality as the highest priority for AI tool development in mental health (Fischer et al., 2025). Can we predict readmission for suicide attempt or intentional self-harm using electronic health records? One of the largest prospective suicide prediction studies (Edgcomb et al., 2021) achieved ROC-AUC = 0.73 in the derivation cohort (1,628 women; 8,408 hospitalizations; 1.3% event rate) and ROC-AUC = 0.71 in the external cohort (140,848 women; 841,834 hospitalizations; 4.8% event rate). A companion study in men (N = 1.4 million) reported similar results (Thiruvalluru et al., 2023).

  1. In the Binary outcome mode:
    • Set base rate to 4.8%, matching the external cohort (Edgcomb et al., 2021)
    • Set the outcome reliability to 1.0 (the recorded readmission outcome can be assumed to have near-perfect reliability)
    • Set the predictor reliability for both groups to 0.8 (an illustrative value based on the relatively high reliability of structured electronic health record variables)
    • Set the observed effect size to d = 0.77, which corresponds to ROC-AUC = 0.71
  2. This yields PR-AUC = 0.12, indicating poor predictive performance in the real world. At an intervention threshold of pt = 0.03, we get Sensitivity = 0.85, Specificity = 0.40, PPV = 0.07, and ΔNB = 0.004. While the model would identify 85% of qualifying readmissions, only 7% of flagged hospitalizations would be followed by such a readmission; the incremental net benefit over intervening for everyone is small.
  3. To achieve PR-AUC = 0.80 in this population would require ROC-AUC = 0.98, which is extremely unrealistic. At pt = 0.03, this would result in Sensitivity = 0.94, PPV = 0.30, and ΔNB = 0.023.
  4. Note that because the reliability is already quite high, improving it further would not make much of a difference. What we need to do is to find better predictors. Alternatively, it may be more effective to simply focus on universal suicide prevention strategies rather than trying to predict individual cases (e.g., Large, 2018).
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Example 5. Risk Prediction: Transition to Psychosis

Mismatch negativity (MMN) is among the most promising biomarkers for predicting transition to psychosis within clinical high-risk (CHR) cohorts. The largest longitudinal study (Hamilton et al., 2022) found that converters showed the largest MMN deficit in the double-deviant condition, with d = 0.43. How promising is MMN for this application?

  1. In the Binary outcome mode:
    • Set the base rate to 19% (average 24-month conversion rate in CHR cohorts; Salazar de Pablo et al., 2021).
    • Set the outcome reliability to 0.46 (DSM-5 psychosis spectrum κ; Regier et al., 2013).
    • Set the predictor reliability for both groups to 0.5 (double-deviant MMN test-retest reliability; Roach et al., 2020).
    • Set the observed effect size to d = 0.43.
  2. This yields ROC-AUC = 0.62 and PR-AUC = 0.27, indicating modest predictive performance. At a decision threshold of pt = 0.15, which corresponds to relatively low-cost interventions such as increased monitoring, we obtain PPV = 0.22, Sensitivity = 0.81, and ΔNB = 0.011 — about 11 net true positives per 1,000 people when intervention is based on this biomarker.
  3. Improving measurement reliability could improve performance up to d = 0.75, ROC-AUC = 0.70, and PR-AUC = 0.36. To view this ideal-reliability scenario at the same pt = 0.15, select the True view. This gives PPV = 0.27, Sensitivity = 0.77, and ΔNB = 0.028 (about 28 net true positives per 1,000 people when intervention is based on this biomarker), offering a substantial improvement but still overall modest predictive performance.
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Sample Size Calculations for Prediction Models

E2P Simulator implements the development sample-size criteria summarized by Riley et al. (2020) for binary logistic and continuous linear regression prediction models. Rather than applying a fixed rule such as 10 events per predictor parameter, the calculator checks several ways in which a development sample can be too small and reports the largest resulting sample size.

How to Use

Enter the number of candidate predictor parameters, not merely the number of named predictors. A multi-level categorical variable, spline, or interaction can require several coefficients; all parameters considered during development should be counted. Also specify a realistically expected R² based on comparable prior research or pilot data.

For a binary outcome, specify the anticipated outcome base rate and likelihood-based Cox–Snell R². This R² is not eta-squared (η²) and should not be copied from the main E2P dashboard. Obtain it from a comparable model, or convert a reported Nagelkerke R² or C-statistic to Cox–Snell R² (Riley et al., 2021). The calculator checks precision of the overall outcome proportion, average prediction error when p ≤ 30, and protection against overfitting and optimism. For the outcome-proportion criterion, m is the desired absolute half-width of its 95% confidence interval: the default m = 0.05 means ±5 percentage points. The calculator also plots the traditional events-per-variable (EPV) rule so you can compare that rule of thumb with the model-based criteria. The EPV line is for reference and does not determine the final recommendation; its value of p counts predictor parameters rather than merely named predictors.

For a continuous outcome, specify the anticipated R². The calculator compares three requirements: limiting shrinkage of predictor effects, limiting the difference between apparent and adjusted R², and estimating the residual standard deviation with sufficient precision. The final recommendation is the largest sample size required by these three criteria.

The calculator displays the individual criteria and uses recommended targets by default. Change those targets only when your study requires a different degree of precision. Use conservative R² assumptions: an unrealistically strong anticipated model can produce a sample-size recommendation that is too small.

These formulas assume a prespecified regression-model development strategy. They are not a general guarantee for machine-learning pipelines that add adaptive feature selection, hyperparameter tuning, or comparison of many algorithms. For such workflows, simulation-based learning curves that reproduce the full development procedure may be more informative.

The sample size calculators complement the main E2P simulators in study planning: the E2P simulators explore relationships between effect sizes and predictive utility, while the sample-size module addresses development-data requirements for regression-based prediction models.

Prediction Models vs. Hypothesis Testing Sample Sizes

You may wonder how these prediction-focused sample size calculations compare to traditional power analysis used in hypothesis testing. The key difference is that power analysis focuses on detecting whether an effect exists, while prediction-focused calculations prioritize model reliability and performance on new data. This fundamental difference in goals typically leads to larger sample size requirements for prediction models.

Another way to think about this difference is in terms of precision requirements. Power analysis only needs sufficient precision to distinguish an effect from zero (statistical significance). In contrast, prediction models require much tighter confidence intervals around parameter estimates to ensure much more precise estimation of predictive performance / effect sizes.

Calibration

Discrimination tells you whether a model can separate cases from non-cases; calibration tells you whether the predicted probabilities themselves are accurate. A well-calibrated model is one for which people assigned a risk of 20% actually have an observed event rate close to 20%.

The calibration module in E2P Simulator shows what happens when a model developed in one population is applied in a target population with a different effect size, predictor reliability, outcome reliability, or base rate.

Given the normality of the distributions, predicted probabilities are computed analytically using Bayes' rule; the predicted probability of belonging to Group 2 for a predictor value x:

\[P(Y = 2 \mid X = x) = \frac{p(x \mid Y = 2)\phi}{p(x \mid Y = 1)(1-\phi) + p(x \mid Y = 2)\phi}\]

Here, p(x | Y = 1) and p(x | Y = 2) are the conditional normal densities of the predictor in Group 1 and Group 2, respectively, and φ is the base rate.

\[ p(x \mid Y = 1) = \frac{1}{\sigma_1\sqrt{2\pi}} \exp\!\left(-\frac{(x-\mu_1)^2}{2\sigma_1^2}\right), \quad p(x \mid Y = 2) = \frac{1}{\sigma_2\sqrt{2\pi}} \exp\!\left(-\frac{(x-\mu_2)^2}{2\sigma_2^2}\right) \]

μ1 and μ2 are the group means, while σ1 and σ2 are the group standard deviations implied by the selected reliabilities. The calibration curve plots probabilities from the model developed in the first population against the corresponding outcome frequencies in the target population.

The Brier score is the population mean squared difference between the predicted probability and the binary outcome. The Integrated Calibration Index (ICI; Austin & Steyerberg, 2019) is the population mean absolute distance between predicted risk and the target event rate conditional on that predicted risk. Calibration intercept and slope are obtained from population logistic recalibration, \(\operatorname{logit}(P(Y=2)) = \alpha + \beta\operatorname{logit}(\hat{p})\), with ideal values \(\alpha=0\) and \(\beta=1\).

Feedback and Contributions

E2P Simulator is an open-source project – feedback, bug reports, and suggestions for improvement are welcome. The easiest way to do so is through the GitHub Issues page.

You can view the source code, track development, and contribute directly at the project's GitHub repository.

For other inquiries, you can find my contact information here.

References

  1. Austin, P. C., & Steyerberg, E. W. (2019). The Integrated Calibration Index (ICI) and related metrics for quantifying the calibration of logistic regression models. Statistics in Medicine, 38(21), 4051-4065. https://doi.org/10.1002/sim.8281
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