R 2 = [ c o r r ( y , y ^ ) ] 2 R^2=[corr(y,\hat{y})]^2 R2=[corr(y,y^)]2
Proof:
R 2 = S S E S S T = ∑ i = 1 n ( y i ^ − y ˉ ) 2 ∑ i = 1 n ( y i − y ˉ ) 2 R^2=\dfrac{SSE}{SST}=\dfrac{\sum\limits_{i=1}^n(\hat{y_i}-\bar{y})^2}{\sum\limits_{i=1}^n(y_i-\bar{y})^2} R2=SSTSSE=i=1∑n(yi−yˉ)2i=1∑n(yi^−yˉ)2
[ c o r r ( y , y ^ ) ] 2 = [ C o v ( y , y ^ ) V a r ( y ) V a r ( y ^ ) ] 2 = ( C o v ( y , y ^ ) ) 2 V a r ( y ) V a r ( y ^ ) [corr(y,\hat{y})]^2=[\dfrac{Cov(y,\hat{y})}{\sqrt{Var(y)Var(\hat{y})}}]^2=\dfrac{(Cov(y,\hat{y}))^2}{Var(y)Var(\hat{y})} [corr(y,y^)]2=[Var(y)Var(y^)Cov(y,y^)]2=Var(y)Var(y^)(Cov(y,y^))2
C o v ( y , y ^ ) = 1 n ∑ i = 1 n ( y i − y ˉ ) ( y i ^ − y ^ ˉ ) Cov(y,\hat{y})=\dfrac{1}{n}\sum\limits_{i=1}^n(y_i-\bar{y})(\hat{y_i}-\bar{\hat{y}}) Cov(y,y^)=n1i=1∑n(yi−yˉ)(yi^−y^ˉ)
证明$R^2=[corr(y,\hat{y})]^2$
最新推荐文章于 2022-12-23 17:24:50 发布
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