# Coefficient of determination

### From Wikipedia, the free encyclopedia

In statistics, the **coefficient of determination**, ** R^{2}** is used in the context of statistical models whose main purpose is the prediction of future outcomes on the basis of other related information. It is the proportion of variability in a data set that is accounted for by the statistical model. It provides a measure of how well future outcomes are likely to be predicted by the model.

There are several different definitions of *R*^{2} which are only sometimes equivalent. One class of such cases includes that of linear regression. In this case, *R*^{2} is simply the square of the sample correlation coefficient between the outcomes and their predicted values, or in the case of simple linear regression, between the outcome and the values being used for prediction. In such cases, the values vary from 0 to 1. Important cases where the computational definition of *R*^{2} can yield negative values, depending on the definition used, arise where the predictions which are being compared to the corresponding outcome have not derived from a model-fitting procedure using those data.

## Contents |

## [edit] Definitions

A data set has values *y*_{i} each of which has an associated modelled value *f*_{i}. Here, the values *y*_{i} are called the observed values and the modelled values *f*_{i} are sometimes called the predicted values. The "variability" of the data set is measured through different sums of squares:

- the total sum of squares (proportional to the sample variance);

- the regression sum of squares, also called the explained sum of squares.

- , the sum of squared errors, also called the residual sum of squares.

In the above, and are the means of the observed data and modelled (predicted) values respectively.

**Note**: the notations *S**S*_{R} and *S**S*_{E} should be avoided, since in some texts their meaning is reversed to **E**xplained sum of squares and **R**esidual sum of squares.

The most general definition of the coefficient of determination is

### [edit] Relation to unexplained variance

In the general form, *R*^{2} can be seen to be related to the unexplained variance, since the second term compares the unexplained variance (variance of the model's errors) with the total variance (of the data). See fraction of variance unexplained.

### [edit] As explained variance

In some cases the total sum of squares equals the sum of the two other sums of squares defined above,

See sum of squares for a derivation of this result for one case where the relation holds. When this relation does hold, the above definition of *R*^{2} is equivalent to

In this form *R*^{2} is given directly in terms of the explained variance: it compares the explained variance (variance of the model's predictions) with the total variance (of the data).

This partition of the sum of squares holds for instance when the model values ƒ_{i} have been obtained by linear regression. A milder sufficient condition reads as follows: The model has the form

where the *q*_{i} are arbitrary values that may or may not depend on *i* or on other free parameters (the common choice *q*_{i} = *x*_{i} is just one special case), and the coefficients α and β are obtained by minimizing the residual sum of squares.

This set of conditions is an important one and it has a number of implications for the properties of the fitted residuals and the modelled values. In particular, under these conditions:

### [edit] As squared correlation coefficient

Similarly, after least squares regression with a constant+linear model, *R*^{2} equals the square of the correlation coefficient between the observed and modelled (predicted) data values.

Under general conditions, an *R*^{2} value is sometimes calculated as the square of the correlation coefficient between the original and modelled data values. In this case, the value is not directly a measure of how good the modelled values are, but rather a measure of how good a predictor might be constructed from the modelled values (by creating a revised predictor of the form α + βƒ_{i}). According to Everitt (2002, p. 78), this usage is specifically the definition of the term "coefficient of determination": the square of the correlation between two (general) variables.

## [edit] Interpretation

*R*^{2} is a statistic that will give some information about the goodness of fit of a model. In regression, the *R*^{2} coefficient of determination is a statistical measure of how well the regression line approximates the real data points. An *R*^{2} of 1.0 indicates that the regression line perfectly fits the data.

It is important to note that values of *R*^{2} outside the range 0 to 1 can occur where it is used to measure the agreement between observed and modelled values and where the "modelled" values are not obtained by linear regression and depending on which formulation of *R*^{2} is used. If the first formula above is used, values can never be greater than one. If the second expression is used, there are not constraints on the values obtainable.

In many (but not all) instances where *R*^{2} is used, the predictors are calculated by ordinary least-squares regression: that is, by minimising *SS*_{err}. In this case R-squared increases as we increase the number of variables in the model (*R*^{2} will not decrease). This illustrates a drawback to one possible use of *R*^{2}, where one might try to include more variables in the model until "there is no more improvement". This leads to the alternative approach of looking at the adjusted *R*^{2}. The explanation of this statistic is almost the same as *R*^{2} but it penalizes the statistic as extra variables are included in the model. For cases other than fitting by ordinary least squares, the *R*^{2} statistic can be calculated as above and may still be a useful measure. If fitting is by weighted least squares or generalized least squares, alternative versions of R^{2} can be calculated appropriate to those statistical frameworks, while the "raw" *R*^{2} may still be useful if it is more easily interpreted. Values for *R*^{2} can be calculated for any type of predictive model, which need not have a statistical basis.

### [edit] In a linear model

Consider a linear model of the form

where, for the *i*th case, *Y*_{i} is the response variable, are *p* regressors, and is a mean zero error term. The quantities are unknown coefficients, whose values are determined by least squares. The coefficient of determination *R*^{2} is a measure of the global fit of the model. Specifically, *R*^{2} is an element of [0, 1] and represents the proportion of variability in *Y*_{i} that may be attributed to some linear combination of the regressors (explanatory variables) in *X*.

*R*^{2} is often interpreted as the proportion of response variation "explained" by the regressors in the model. Thus, *R*^{2} = 1 indicates that the fitted model explains all variability in *y*, while *R*^{2} = 0 indicates no 'linear' relationship between the response variable and regressors. An interior value such as *R*^{2} = 0.7 may be interpreted as follows: "Approximately seventy percent of the variation in the response variable can be explained by the explanatory variable. The remaining thirty percent can be explained by unknown, lurking variables or inherent variability."

A caution that applies to *R*^{2}, as to other statistical descriptions of correlation and association is that "correlation does not imply causation." In other words, while correlations may provide valuable clues regarding causal relationships among variables, a high correlation between two variables does not represent adequate evidence that changing one variable has resulted, or may result, from changes of other variables.

In case of a single regressor, fitted by least squares, *R*^{2} is the square of the Pearson product-moment correlation coefficient relating the regressor and the response variable. More generally, *R*^{2} is the square of the correlation between the constructed predictor and the response variable.

### [edit] Inflation of *R*^{2}

In least squares regression, *R*^{2} is weakly increasing in the number of regressors in the model. As such, *R*^{2} alone cannot be used as a meaningful comparison of models with different numbers of independent variables. For a meaningful comparison between two models, an F-test can be performed on the residual sum of squares, similar to the F-tests in Granger causality. As a reminder of this, some authors denote *R*^{2} by *R*^{2}_{p}, where *p* is the number of columns in *X*

To demonstrate this property, first recall that the objective of least squares regression is:

The optimal value of the objective is weakly smaller as additional columns of *X* are added, by the fact that relatively unconstrained minimization leads to a solution which is weakly smaller than relatively constrained minimization. Given the previous conclusion and noting that *S**S*_{tot} depends only on *y*, the non-decreasing property of *R*^{2} follows directly from the definition above.

### [edit] Notes on interpreting *R*^{2}

*R*^{2} does *NOT* tell whether:

- the independent variables are a true cause of the changes in the dependent variable
- omitted-variable bias exists
- the correct regression was used
- the most appropriate set of independent variables has been chosen
- there is collinearity present in the data
- the model might be improved by using transformed versions of the existing set of independent variables

## [edit] Adjusted *R*^{2}

Adjusted *R*^{2} (sometimes written as ) is a modification of *R*^{2} that adjusts for the number of explanatory terms in a model. Unlike *R*^{2}, the adjusted *R*^{2} increases only if the new term improves the model more than would be expected by chance. The adjusted *R*^{2} can be negative, and will always be less than or equal to *R*^{2}. The adjusted *R*^{2} is defined as

where p is the total number of regressors in the linear model (but not counting the constant term), and *n* is sample size.

The principle behind the Adjusted *R*^{2} statistic can be seen by rewriting the ordinary *R*^{2} as

where *V**A**R*_{E} = *S**S*_{E} / *n* and *V**A**R*_{T} = *S**S*_{T} / *n* are estimates of the variances of the errors and of the observations, respectively. These estimates are replaced by notionally "unbiased" versions: *V**A**R*_{E} = *S**S*_{E} / (*n* − *p* − 1) and *V**A**R*_{T} = *S**S*_{T} / (*n* − 1).

Adjusted *R*^{2} *does not have the same interpretation as R ^{2}*. As such, care must be taken in interpreting and reporting this statistic. Adjusted

*R*

^{2}is particularly useful in the Feature selection stage of model building.

Adjusted *R*^{2} is not always *better* than *R*^{2}: adjusted *R*^{2} will be more useful only if the *R*^{2} is calculated based on a sample, not the entire population. For example, if our unit of analysis is a state, and we have data for all counties, then adjusted *R*^{2} will not yield any more useful information than *R*^{2}. The use of an adjusted *R*^{2} is an attempt to take account of the phenomenon of statistical shrinkage.^{[1]}

## [edit] Generalized *R*^{ 2}

Nagelkerke (1991) generalizes the definition of the coefficient of determination.

1. A generalized coefficient of determination should be consistent with the classical coefficient of determination when both can be computed.

2. Its value should also be maximised by the maximum likelihood estimation of a model.

3. It should be, at least asymptotically, independent of the sample size.

4. Its interpretation should be the proportion of the variation explained by the model.

5. It should be between 0 and 1, with 0 denoting that model does not explain any variation and 1 denoting that it perfectly explains the observed variation.

6. It should not have any unit.

The generalized R^{2} has all the preceding properties.

where *L*(0) is the likelihood of the model with only the intercept, is the likelihood of the estimated model and n is the sample size.

However, in the case of a logistic model, where cannot be greater than 1, *R*^{2} is between 0 and .

Thus, we define the maxed-rescaled R square . ^{[2]}

## [edit] See also

- Goodness of fit
- Fraction of variance unexplained
- Pearson product-moment correlation coefficient
- Nash-Sutcliffe efficiency coefficient (Hydrological applications)
- Statistical model validation
- Proportional reduction in loss

## [edit] Notes

**^**Everitt, B.S. (2002)*The Cambridge Dictionary of Statistics*, CUP. ISBN 0-521-81099-x (See entries for "Shrinkage", "Shrinkage formulae")**^**N. Nagelkerke, “A Note on a General Definition of the Coefficient of Determination,” Biometrika, vol. 78, no. 3, pp. 691-692, 1991.

## [edit] References

- Draper, N.R. and Smith, H. (1998).
*Applied Regression Analysis*. Wiley-Interscience. ISBN 0-471-17082-8 - Everitt, B.S. (2002).
*Cambridge Dictionary of Statistics*(2nd Edition). CUP. ISBN 0-521-81099-x - Nagelkerke, Nico J.D. (1992) Maximum Likelihood Estimation of Functional Relationships, Pays-Bas, Lecture Notes in Statistics, Volume 69, 110p ISBN 0-387-97721-X.