Imran Younus created SPARK-12331: ------------------------------------ Summary: R^2 for regression through the origin Key: SPARK-12331 URL: https://issues.apache.org/jira/browse/SPARK-12331 Project: Spark Issue Type: Improvement Components: ML Reporter: Imran Younus Priority: Minor
The value of R^2 (coefficient of determination) obtained from LinearRegressionModel is not consistent with R and statsmodels when the fitIntercept is false i.e., regression through the origin. In this case, both R and statsmodels use the definition of R^2 given by eq(4') in the following review paper: https://online.stat.psu.edu/~ajw13/stat501/SpecialTopics/Reg_thru_origin.pdf Here is the definition from this paper: R^2 = \sum(\hat(y)_i^2)/\sum(y_i^2) The paper also describes why this should be the case. I've double checked that the value of R^2 from statsmodels and R are consistent with this definition. On the other hand, scikit-learn doesn't use the above definition. I would recommend using the above definition in Spark. -- This message was sent by Atlassian JIRA (v6.3.4#6332) --------------------------------------------------------------------- To unsubscribe, e-mail: issues-unsubscr...@spark.apache.org For additional commands, e-mail: issues-h...@spark.apache.org