[R] Average R-squared of model1 to model n
Gabor Grothendieck
ggrothendieck at myway.com
Sun Jun 6 20:01:37 CEST 2004
Suppose m=2, Y1=Y and Y2= -Y. Then (b) is zero so (a) must be
greater or equal to (b). Thus (b) is not necessarily greater
than (a).
kan Liu <kan_liu1 <at> yahoo.com> writes:
:
: Hi,
:
: We got a question about interpretating R-suqared.
:
: The actual outputs for a test dataset is X=(x1,x2, ..., xn).
: model 1 predicted the outputs as Y1=(y11,y12,..., y1n)
: model n predicted the outputs as Y2=(y21,y22,..., y2n)
:
: ...
: model m predicted the outputs as Ym=(ym1,ym2,..., ymn)
:
: Now we have two ways to calculate R squared to evaluate the average
performance of committee model.
:
: (a) Calculate R squared between (X, Y1), (X, Y2), ..., (X,Ym), and then
averaging the R squared
: (b) Calculate average Y=(Y1+Y2, + ... Ym)/m, and then calculate the R
squared between (X, Y).
:
: We found it seemed that R squared calculated in (b) is 'always' higher than
that in (a).
:
: Does this result depends on the test dataset or this happened by chance?Can
you advise me any reference for
: this issue?
:
: Many thanks in advance!
:
: Kan
:
:
:
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