» 判定系数(R²)

判定系数(R²)

1900
  • Karl Pearson
在办公室分析回归模型数据的统计员。.

(生成的图像仅供参考)

A statistic indicating the goodness of fit of a model, representing the proportion of the variance in the dependent variable that is predictable from the independent variable(s). An R² of 1 indicates a perfect fit, while 0 indicates no linear relationship. It is calculated as [latex]R^2 \equiv 1 – \frac{SS_{res}}{SS_{tot}}[/latex], where [latex]SS_{res}[/latex] is the residual sum of squares.

The coefficient of determination, R-squared, is a key metric for evaluating regression models. It provides an intuitive measure of how much of the variability in the outcome is captured by the model. It is derived from two key components. The first is the Total Sum of Squares ([latex]SS_{tot} = \sum_i (y_i – \bar{y})^2[/latex]), which measures the total variance in the dependent variable [latex]y[/latex]. The second is the Residual Sum of Squares ([latex]SS_{res} = \sum_i (y_i – \hat{y}_i)^2[/latex]), which measures the variance left unexplained by the model, where [latex]\hat{y}_i[/latex] is the predicted value.

The formula [latex]R^2 = 1 – SS_{res}/SS_{tot}[/latex] can be interpreted as the percentage of total variance that is ‘explained’ by the regression model. For instance, an R² of 0.75 means that 75% of the variability in the outcome can be accounted for by the predictors in the model. In simple linear regression, R² is simply the square of Pearson’s correlation coefficient (r) between the observed and predicted values.

然而,R² 有一个明显的局限性:即使新的预测变量添加到模型中,即使新变量不相关,R² 也不会减小。这可能会产生误导,并导致过度拟合。为了解决这个问题,通常使用调整后的 R²。它会根据模型中的预测变量数量来调整 R² 值,从而为多元回归提供更准确的拟合优度度量。

UNESCO Nomenclature: 1209
- 统计资料

类型

抽象系统

中断

实质性

使用方法

广泛使用

前体

  • 方差和标准差的概念
  • 最小二乘法
  • Pearson’s product-moment correlation coefficient
  • 方差分析 (方差分析)原则

应用

  • 评估科学和工程预测模型的性能
  • 计量经济学和社会科学中的模型选择
  • 量化一组预测变量所解释的方差比例
  • 验证风险评估的财务模型

专利:

NA

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Related to: r-squared, coefficient of determination, goodness of fit, model evaluation, explained variance, sum of squares, regression diagnostics, statistical significance, adjusted r-squared, correlation.

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历史背景

判定系数(R²)

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1850
1854
1854
1896
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1925
1928
1930

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