Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Study on the Coefficient of Determination in Linear Regression Analysis

  • S. H. Park (Department of Computer Science and Statistics, Seoul National University, Seoul, 151-742, KOREA.) ;
  • Sung-im Lee (Department of Computer Science and Statistics, Seoul National University, Seoul, 151-742, KOREA.)
  • Published : 1995.04.01
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Abstract

The coefficient of determination R/sup 2/, as the proprtation of by explained by a set of independent variavles x/sub 1/, x/sub 2, .cdots., x/sub k/ through a linear regression model, is a very useful tool in linear regression analysis. Suppose R/sup 2//sub yx/ is the coefficient of determination when y is regressed only on x/sub i/ alone. If the independent variables are correlaated, the sum, R/sup 2//sub {yx/sub 1/}/ +R/sup 2//sub {yx/sub 2/}/+.cdots.R/sup 2//sub {yx/sub k/}/, is not equal to R/sup 2/sub {yx/sub 1/x/sub 2/.cots.x/sub k/}/, where R/sup 2//sub {yx/sub 1/x/sub 2/.cdots.x/sub k/}/ is the coefficient of determination when y is regressed simultaneously on x/sub 1/, x/sub 2/,.cdots., x/sub k/. In this paper it is discussed that under what conditions the sum is greater than, equal to, or less than R/sup 2//sub {yx/sub 1/x/sub 2/.cdots.x/sub k/}/, and then the proofs for these conditions are given. Also illustrated examples are provided. In addition, we will discuss about inequality between R/sup 2//sub {yx/sub 1/x/sub 2/.cdots.x/sub k/}/ and the sum, R/sup 2//sub {yx/sub 1/}/+R/sup 2//sub {yx/sub 2/}/+.cdots.+R/sup 2//sub {yx/sub k/}/.

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