Linear Regression: Y=a+bX+ϵ For R squared in linear regression, in the form of ratio between (y_i−y^bar), or in terms of (Sxy)^2/(SxxSyy) Not sure if you guys come across this form: R^2=(Var(bX))/(V(bX)+V(ϵ))?

ecoanuncios7x

ecoanuncios7x

Answered question

2022-09-30

Linear Regression:
Y = a + b X + ϵ
For R squared in linear regression, in the form of ratio between ( y i y b a r ), or in terms of
( S x y ) 2 / ( S x x S y y )
Not sure if you guys come across this form:
R 2 = V a r ( b X ) V ( b X ) + V ( ϵ ) ?

Answer & Explanation

Lohre1x

Lohre1x

Beginner2022-10-01Added 8 answers

Assume that the process that generates the i.i.d data { ( x i , y i } i = 1 n is y i = a + b x i + ϵ i , where E ϵ i = 0 and E ϵ i 2 = σ 2 < . Now, recall that
R 2 = ( y ^ i y ¯ ) 2 ( y i y ¯ ) 2 = 1 ( y ^ i y i ) 2 ( y i y ¯ ) 2 = 1 ( y ^ i y i ) 2 / n ( y i y ¯ ) 2 / n = 1 σ ^ ϵ 2 σ ^ Y 2 .
Namely, the sample-based measure R 2 is a biased estimator of a population parameter that is
ρ = 1 σ ϵ 2 σ Y 2 .
So,
ρ = 1 V a r ( ϵ i ) V a r ( y i ) = 1 V a r ( ϵ i ) V a r ( b x i ) + V a r ( ϵ i ) = V a r ( b x i ) V a r ( b x i ) + V a r ( ϵ i ) .

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