R2 in restricted linear models

We consider the coefficient of determination R 2 in a linear regression model under linear constraints. We demonstrate that the usual definition of R 2 is no longer useful if the restrictions are inhomogeneous and propose a more meaningful alternative.

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Bibliographische Detailangaben
Veröffentlicht in:	Communications in statistics. Theory and methods 1993-01, Vol.22 (3), p.641-645
Hauptverfasser:	Knautz, Henning, Wilde, Joachim
Format:	Artikel
Sprache:	eng
Schlagworte:	coefficient of determination Exact sciences and technology Linear inference, regression Mathematics Probability and statistics restricted linear regression model Sciences and techniques of general use Statistics
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	We consider the coefficient of determination R 2 in a linear regression model under linear constraints. We demonstrate that the usual definition of R 2 is no longer useful if the restrictions are inhomogeneous and propose a more meaningful alternative.
ISSN:	0361-0926 1532-415X
DOI:	10.1080/03610929308831044