Proof: Derivation of R² and adjusted R²
Theorem: Given a linear regression model
\[\label{eq:rsq-mlr} y = X\beta + \varepsilon, \; \varepsilon_i \overset{\mathrm{i.i.d.}}{\sim} \mathcal{N}(0, \sigma^2)\]with $n$ independent observations and $p$ independent variables,
1) the coefficient of determination is given by
\[\label{eq:R2} R^2 = 1 - \frac{\mathrm{RSS}}{\mathrm{TSS}}\]2) the adjusted coefficient of determination is
\[\label{eq:R2-adj} R^2_{\mathrm{adj}} = 1 - \frac{\mathrm{RSS}/(n-p)}{\mathrm{TSS}/(n-1)}\]where the residual and total sum of squares are
\[\label{eq:SS} \begin{split} \mathrm{RSS} &= \sum_{i=1}^{n} (y_i - \hat{y}_i)^2, \quad \hat{y} = X\hat{\beta} \\ \mathrm{TSS} &= \sum_{i=1}^{n} (y_i - \bar{y})^2\;, \quad \bar{y} = \frac{1}{n} \sum_{i=1}^n y_i \\ \end{split}\]where $X$ is the $n \times p$ design matrix and $\hat{\beta}$ are the ordinary least squares estimates.
Proof: The coefficient of determination $R^2$ is defined as the proportion of the variance explained by the independent variables, relative to the total variance in the data.
1) If we define the explained sum of squares as
then $R^2$ is given by
\[\label{eq:R2-s1} R^2 = \frac{\mathrm{ESS}}{\mathrm{TSS}} \; .\]which is equal to
\[\label{eq:R2-s2} R^2 = \frac{\mathrm{TSS}-\mathrm{RSS}}{\mathrm{TSS}} = 1 - \frac{\mathrm{RSS}}{\mathrm{TSS}} \; ,\]because $\mathrm{TSS} = \mathrm{ESS} + \mathrm{RSS}$.
2) Using \eqref{eq:SS}, the coefficient of determination can be also written as:
If we replace the variance estimates by their unbiased estimators, we obtain
\[\label{eq:R2-adj'} R^2_{\mathrm{adj}} = 1 - \frac{\frac{1}{n-p} \sum_{i=1}^{n} (y_i - \hat{y}_i)^2}{\frac{1}{n-1} \sum_{i=1}^{n} (y_i - \bar{y})^2} = 1 - \frac{\mathrm{RSS}/\mathrm{df}_r}{\mathrm{TSS}/\mathrm{df}_t}\]where $\mathrm{df}_r = n-p$ and $\mathrm{df}_t = n-1$ are the residual and total degrees of freedom.
This gives the adjusted $R^2$ which adjusts $R^2$ for the number of explanatory variables.
- Wikipedia (2019): "Coefficient of determination" ; in: Wikipedia, the free encyclopedia , retrieved on 2019-12-06 ; URL: https://en.wikipedia.org/wiki/Coefficient_of_determination#Adjusted_R2 .
Metadata: ID: P8 | shortcut: rsq-der | author: JoramSoch | date: 2019-12-06, 11:19.