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Re: leasqr question
From: |
Mike Miller |
Subject: |
Re: leasqr question |
Date: |
Fri, 6 Sep 2002 00:08:23 -0500 (CDT) |
I don't agree. No matter how the regression is accomplished (linear,
nonlinear, least squares, random guesses, goat entrails), the geometry
should work just fine. You have a set of observed values and a
corresponding set of predicted values. Combining these, you produce a set
of residual values (observed minus predicted). The R^2 is always the same
thing:
R^2 = [var(observed) - var(residual)] / var(observed)
So it's the proportion of variance accounted for by the regression. It is
nearly as easy to compute R^2 in nonlinear as in linear cases.
Norman Draper (whose book was recommended in the last message) taught an
advanced regression course I took at UW-Madison. It was a required course
for all PhD students in stat (I was in a different dept., but I took the
course and received an A). This doesn't prove that Draper would agree
with me, but I think he would.
Mike
--
Michael B. Miller, Ph.D.
Assistant Professor
Division of Epidemiology
University of Minnesota
http://taxa.epi.umn.edu/~mbmiller/
On Thu, 5 Sep 2002, Dirk Eddelbuettel wrote:
> On Thu, Sep 05, 2002 at 09:49:07AM -0400, Tom Kornack wrote:
> > I am unfamiliar with all the complicated output of leasqr and I was
> > hoping if someone could provide me with an algorithm to extract a
> > measure like chi^2 or R^2. Could someone suggest a reference that might
> > elucidate the output variables of leasqr?
>
> No -- R2 only works for linear models, but leasqr.m is for nonlinear ones.
>
> As you asked, R^2 should be defined in any semi-decent statistics intro --
> it is the ratio of regression sum of squares [SSR := sumsq(fitted -
> mean(fitted))] to total sum of squares [SST := sumsq (y - mean(y))]. Then
> you get R2 as SSR/SST. Alternatively, define sum of squared residuals [SSE
> := sumsq (y - fitted)] and use R2 := 1 - SSE/SST. There are variations which
> account for the nb of variables (as adding new variables, even if
> meaningless, will always increase R2, some people prefer adj. R2).
>
> But more importantly, R2 is only for linear models. Its geometry cannot be
> applied to nonliear fits such as those computed by leasqr.m. The Draper and
> Smith reference in leasqr.m is a good one, it will have details on
> appropriate diagnostics for nonlinear models.
>
> Dirk
>
> --
> Good judgement comes from experience; experience comes from bad judgement.
> -- Fred Brooks
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