Displaying 1 result from an estimated 1 matches for "bestimmtheitsma".
2008 Apr 24
0
Coefficient of determination in a regression model with AR(1) residuals
...bove" and later: "Values for R^2 can be calculated for
any type of predictive model"), I tried to calculate the standard R^2
for the model with AR(1) residuals. However, I ended up with R^2
larger than 1!
As mentioned on the German wikipedia page (http://de.wikipedia.org/
wiki/Bestimmtheitsma?), in models fitted using Maximum Likelihood
Estimation (MLE), the coefficient of determination does _not_ exist
(citation [2008-04-24]: "Bei bestimmten statistischen Modellen, z.B.
bei Maximum-Likelihood-Sch?tzungen, existiert das Bestimmtheitsma?
R^2 nicht"). Any comments on tha...