Coefficient of is used for linear regression models without intercept

term. Using a form of R 2 that does not match the

Determination (R 2)
The coefficient of determination (usually denoted R 2 )
is a concept in analysis of variance and regression
analysis. It is a measure of the proportion of explained
variance present in the data. Hence, the higher the
value of R 2 , the better the model describes the data.
When data consists of values y1 , . . . , yn of a response
variable and a model with predictor variables is
applied to the data, then R 2 is defined as


n
(yi − 
yi )2
i=1
R2 = 1 − (1)


n
(yi −

y) 2
i=1
where
y denotes the average of the observations
and  yi the prediction of yi using the fitted model.
In case there is no relation between the predictor
variable(s) and the response variable, then
y is the
best “model” to explain the data. Hence, the terms
yi −
y account for deviations in the worst case that
there is no relation between the predictor variable(s)
and the response variable. The range of values of R 2
depends on the type of model to be fitted; in standard
cases like linear least-squares regression models they
lie between 0 and 1.
In case of linear regression with only one predictor
variable, R 2 equals the square of the correlation
between the values of the predictor variable and the
response variable. Several different formulas of R 2
are known, e.g., the formula
type of model may lead to wrong conclusion, since
in general the different forms of R 2 are not equivalent
(see [1] for an excellent overview).
Very low values of R 2 (<0.5) indicate a weak
relation between the predictor variable(s) and the
response variable, while moderately low values of
R 2 (<0.8 and >0.5) indicate that the model is not
adequate, e.g., terms are missing, or that there is
substantial error variation (possibly caused by a large
measurement spread). However, high values of R 2
do not necessarily imply that the model is adequate
(see [1]). The major reason is that R 2 increases
when models are enlarged, even when this is done
with irrelevant terms. This effect is only partially
taken away by using the adjusted form Radj 2
= 1−
n−1
R 2
, when there are k predictor variables in a
n−k−1
linear regression model (when there is no intercept,
then the denominator should be n − k). A proper
assessment of goodness of fit (see Lack of Fit)
of a regression model should consist of a balanced
judgment taking into account model assumptions,
the explained variation by the model as well as the
number of parameters in the model. This may be
accomplished by analysis of the residuals, checking
the number of significant effects, and performing a
model significance test like the standard F -test in
analysis of variance (which rigorously accounts for
the degrees of freedom and hence, also incorporates
the number of parameters).
Reference
[1] Kvålseth, T.O. (1985). Cautionary note about R 2 , The
American Statistician 39(4), 279–285.

n Related Articles
(yi − 
yi )2
i=1 Analysis of Variance; Correlation; Dependence;
R02 = 1 − (2) Degrees of Freedom; Lack of Fit.


n
yi2
i=1 ALESSANDRO DI BUCCHIANICO