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    Bucchi, 2008 - Coefficient of Determination

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    bmdeon
    The document discusses the coefficient of determination (R2), which is a measure used in linear regression to assess how well a model fits the data. R2 values range from 0 to 1, with higher values indicating the model explains more of the variance in the data. However, a high R2 does not necessarily mean the model is adequate, as R2 will increase even when irrelevant terms are added to the model. A proper assessment of model fit requires evaluating assumptions, explained variance, and number of parameters in the model by examining residuals and performing model significance tests.

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    Bucchi, 2008 - Coefficient of Determination

    Uploaded by

    bmdeon
    23 views1 page
    The document discusses the coefficient of determination (R2), which is a measure used in linear regression to assess how well a model fits the data. R2 values range from 0 to 1, with higher values indicating the model explains more of the variance in the data. However, a high R2 does not necessarily mean the model is adequate, as R2 will increase even when irrelevant terms are added to the model. A proper assessment of model fit requires evaluating assumptions, explained variance, and number of parameters in the model by examining residuals and performing model significance tests.

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    Bucchi,2008 -Coefficient of determination

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    The document discusses the coefficient of determination (R2), which is a measure used in linear regression to assess how well a model fits the data. R2 values range from 0 to 1, with higher values indicating the model explains more of the variance in the data. However, a high R2 does not necessarily mean the model is adequate, as R2 will increase even when irrelevant terms are added to the model. A proper assessment of model fit requires evaluating assumptions, explained variance, and number of parameters in the model by examining residuals and performing model significance tests.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    23 views1 page

    Bucchi, 2008 - Coefficient of Determination

    Uploaded by

    bmdeon
    The document discusses the coefficient of determination (R2), which is a measure used in linear regression to assess how well a model fits the data. R2 values range from 0 to 1, with higher values indicating the model explains more of the variance in the data. However, a high R2 does not necessarily mean the model is adequate, as R2 will increase even when irrelevant terms are added to the model. A proper assessment of model fit requires evaluating assumptions, explained variance, and number of parameters in the model by examining residuals and performing model significance tests.

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    Coefficient of is used for linear regression models without intercept

    term. Using a form of R 2 that does not match the


    Determination (R 2) type of model may lead to wrong conclusion, since
    in general the different forms of R 2 are not equivalent
    (see [1] for an excellent overview).
    Very low values of R 2 (<0.5) indicate a weak
    The coefficient of determination (usually denoted R 2 ) relation between the predictor variable(s) and the
    is a concept in analysis of variance and regression response variable, while moderately low values of
    analysis. It is a measure of the proportion of explained R 2 (<0.8 and >0.5) indicate that the model is not
    variance present in the data. Hence, the higher the adequate, e.g., terms are missing, or that there is
    value of R 2 , the better the model describes the data. substantial error variation (possibly caused by a large
    When data consists of values y1 , . . . , yn of a response measurement spread). However, high values of R 2
    variable and a model with predictor variables is do not necessarily imply that the model is adequate
    applied to the data, then R 2 is defined as (see [1]). The major reason is that R 2 increases
    when models are enlarged, even when this is done
    
    n
    (yi − 
    yi )2 with irrelevant terms. This effect is only partially
    i=1
    taken away by using the adjusted form Radj 2
    = 1−
    R2 = 1 − (1) n−1
    R 2
    , when there are k predictor variables in a
    
    n
    n−k−1
    (yi − 
    y) 2
    linear regression model (when there is no intercept,
    i=1 then the denominator should be n − k). A proper
    assessment of goodness of fit (see Lack of Fit)
    where  y denotes the average of the observations of a regression model should consist of a balanced
    and  yi the prediction of yi using the fitted model. judgment taking into account model assumptions,
    In case there is no relation between the predictor the explained variation by the model as well as the
    variable(s) and the response variable, then  y is the number of parameters in the model. This may be
    best “model” to explain the data. Hence, the terms accomplished by analysis of the residuals, checking
    yi − y account for deviations in the worst case that the number of significant effects, and performing a
    there is no relation between the predictor variable(s) model significance test like the standard F -test in
    and the response variable. The range of values of R 2 analysis of variance (which rigorously accounts for
    depends on the type of model to be fitted; in standard the degrees of freedom and hence, also incorporates
    cases like linear least-squares regression models they the number of parameters).
    lie between 0 and 1.
    In case of linear regression with only one predictor Reference
    variable, R 2 equals the square of the correlation
    between the values of the predictor variable and the [1] Kvålseth, T.O. (1985). Cautionary note about R 2 , The
    response variable. Several different formulas of R 2 American Statistician 39(4), 279–285.
    are known, e.g., the formula

    
    n Related Articles
    (yi − 
    yi )2
    i=1 Analysis of Variance; Correlation; Dependence;
    R02 = 1 − (2) Degrees of Freedom; Lack of Fit.
    
    n
    yi2
    i=1 ALESSANDRO DI BUCCHIANICO

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