On Wed, Sep 26, 2007 at 10:26:29AM -0600, Patrick Alken wrote: > > Yes, as it relates 'explained sum of squares' to 'total sum of > > squares', so it just uses residuals, irrespective of whether these > > were computed with a unit vector of weights, or with actual weights. > > > > Wikipedia is not a bad start: > > http://en.wikipedia.org/wiki/R-squared > > Well, that wiki page says: > > "If fitting is by weighted least squares or generalized least squares, > alternative versions of R2 can be calculated appropriate to those > statistical frameworks," > > If you use the weights in calculating the residuals then it seems > you'd have to use them in the total sum of squares too. In the GNU > R source, the file src/library/stats/R/lm.R has the code which > calculates R^2 and it definitely takes weights into account for > both the residuals and the total sum of squares.
Aiee. Thanks for checking, and correcting my off-the-cuff hint. Dirk -- Three out of two people have difficulties with fractions.
