[R] R-Square for Robust Regression Model

[Bert Gunter]

The usual way, I suppose: (1 - RSS (model with only a
constant)/RSS(full model)).

However, it's not particularly meaningful to do this, because points
are weighted differently depending on the model. This means that the
usual interpretation as the proportion of unexplained variation is
wrong; and none of the standard distributional properties hold either.

Bottom line: Reconsider your request. Familiar linear model concepts
and statistical results do NOT hold for robust regression, which is a
kind of nonlinear regression, actually.

Corrections and further clarifications by experts would be welcome.

-- Bert

On Thu, Sep 30, 2010 at 10:56 PM, Hock Ann Lim <lim_ha at yahoo.com> wrote:
> May I know how to find the R-squared for robust regression model?
>
> Thank you.
>
> Hock Ann
>
>
>
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-- 
Bert Gunter
Genentech Nonclinical Biostatistics