Regress.R2 Function

R2 value.

Pascal

function R2(const Y: TVec; const YCalc: TVec): double;

Parameters	Description
Y	Defines vector of dependant variable.
YCalc	Defines vector of estimated dependant variable values.

The R2 value, in this case defined by the following equation:

R2 = 1.0 - SumOfSquares(Y-YCalc)/SumOfSquares(Y-Mean(Y))

There are several ways to calculate R2, all equivalent for a linear model where model includes a constant term, but not equivalent otherwise.