At Wed, 26 Sep 2007 10:20:05 -0600, Patrick Alken wrote: > > > A question: is the formula the same for both weighted and unweighted > > fits? > > No, unfortunately. > > R^2 = 1 - chisq / Sum [ w_i * (y_i - mean(y))^2 ]. > > In the case of weighted data, the mean(y) is also a weighted mean: > > mean(y) = 1/sum [ w_i ] * sum [ w_i y_i ] > > I looked at the GNU R source to verify all this.
As a starting point I've added gsl_stats_ss and gsl_stats_wss for computing the unweighted/weighted sum of squares. Given chisq and the data this is sufficient for computing R^2 with the formula above. -- Brian Gough
