[R] Question about R2 in pls package

[Bjørn-Helge Mevik]

Euna Jeong <eajeong at gmail.com> writes:

> I have questions about R2 used in pls (or multivariate analysis).
>
> Is R2 same with the square of the PCC (Pearson Correlation Coefficient)?

If you read the manual for R2 in the pls package, it will tell you how
R2 is calculated there, and that for _training_ data it is indeed
PCC^2, but _not_ for cross-validation or test data.

IMHO, R^2 only has a meaningful interpretation for training data.  For
test data or cross-validation, I prefer MSEP or RMSEP.

-- 
Regards,
Bjørn-Helge Mevik