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2004 Jun 06
3
Average R-squared of model1 to model n
Hi,
We got a question about interpretating R-suqared.
The actual outputs for a test dataset is X=(x1,x2, ..., xn).
model 1 predicted the outputs as Y1=(y11,y12,..., y1n)
model n predicted the outputs as Y2=(y21,y22,..., y2n)
...
model m predicted the outputs as Ym=(ym1,ym2,..., ymn)
Now we have two ways to calculate R squared to evaluate the average performance of committee model.
(a) Calculate R squared between (X, Y1), (X, Y2), ..., (X,Ym), and then averaging the R squared
(b) Calculate average Y=(Y1+Y2, + ... Ym)/m, and then calculate the R squared between (X,...