From: Patrick Alken <patrick.alken@colorado.edu>
To: gsl-discuss@sourceware.org
Subject: Re: computing R-squared with gsl_multifit
Date: Wed, 26 Sep 2007 16:26:00 -0000 [thread overview]
Message-ID: <20070926162628.GB27449@hippogriff.physics.drexel.edu> (raw)
In-Reply-To: <20070926161818.GA6539@eddelbuettel.com>
> Yes, as it relates 'explained sum of squares' to 'total sum of
> squares', so it just uses residuals, irrespective of whether these
> were computed with a unit vector of weights, or with actual weights.
>
> Wikipedia is not a bad start:
> http://en.wikipedia.org/wiki/R-squared
Well, that wiki page says:
"If fitting is by weighted least squares or generalized least squares,
alternative versions of R2 can be calculated appropriate to those
statistical frameworks,"
If you use the weights in calculating the residuals then it seems
you'd have to use them in the total sum of squares too. In the GNU
R source, the file src/library/stats/R/lm.R has the code which
calculates R^2 and it definitely takes weights into account for
both the residuals and the total sum of squares.
next prev parent reply other threads:[~2007-09-26 16:26 UTC|newest]
Thread overview: 7+ messages / expand[flat|nested] mbox.gz Atom feed top
2007-09-25 19:46 Patrick Alken
2007-09-26 15:52 ` Brian Gough
2007-09-26 16:18 ` Dirk Eddelbuettel
2007-09-26 16:26 ` Patrick Alken [this message]
2007-09-26 16:43 ` Dirk Eddelbuettel
2007-09-26 16:20 ` Patrick Alken
2007-10-02 8:35 ` Brian Gough
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