Hi, Mark What I want to do exactly is that I want to make a comparison between a model with intercept and one without intercept on adjusted r2 term, since we know that minimizing adjusted r-square is a variable selection strategy. I know there are other alternatives to conduct a variable selection, but I really have to try this one.
Thanks. 2007/5/21, Leeds, Mark (IED) <[EMAIL PROTECTED]>: > > Hi : You can put in the -1 and then create your own vector of 1's which > which will be a "variable" but I'm not sure if I undersrand what you want > and I don't think others do either because > I didn't see other responses. I don't mnean to be offensive or rude but > can you explain what you want to do more clearly. If you do that, I'm sure > you willg et more responses. > > > > -----Original Message----- > From: [EMAIL PROTECTED] [mailto: > [EMAIL PROTECTED] On Behalf Of ??? > Sent: Saturday, May 19, 2007 2:54 AM > To: Paul Lynch > Cc: r-help@stat.math.ethz.ch > Subject: Re: [R] R2 always increases as variables are added? > > I know that "-1" indicates to remove the intercept term. But my question > is why intercept term CAN NOT be treated as a variable term as we place a > column consited of 1 in the predictor matrix. > > If I stick to make a comparison between a model with intercept and one > without intercept on adjusted r2 term, now I think the strategy is always to > use another definition of r-square or adjusted r-square, in which > r-square=sum((y.hat)^2)/sum((y)^2). > > Am I in the right way? > > Thanks > > Li Junjie > > > 2007/5/19, Paul Lynch <[EMAIL PROTECTED]>: > > > > In case you weren't aware, the meaning of the "-1" in y ~ x - 1 is to > > remove the intercept term that would otherwise be implied. > > --Paul > > > > On 5/17/07, Àî¿¡½Ü <[EMAIL PROTECTED]> wrote: > > > Hi, everybody, > > > > > > 3 questions about R-square: > > > ---------(1)----------- Does R2 always increase as variables are > added? > > > ---------(2)----------- Does R2 always greater than 1? > > > ---------(3)----------- How is R2 in summary(lm(y~x-1))$r.squared > > > calculated? It is different from (r.square=sum((y.hat-mean > > > (y))^2)/sum((y-mean(y))^2)) > > > > > > I will illustrate these problems by the following codes: > > > ---------(1)----------- R2 doesn't always increase as variables > > > are > > added > > > > > > > x=matrix(rnorm(20),ncol=2) > > > > y=rnorm(10) > > > > > > > > lm=lm(y~1) > > > > y.hat=rep(1*lm$coefficients,length(y)) > > > > (r.square=sum((y.hat-mean(y))^2)/sum((y-mean(y))^2)) > > > [1] 2.646815e-33 > > > > > > > > lm=lm(y~x-1) > > > > y.hat=x%*%lm$coefficients > > > > (r.square=sum((y.hat-mean(y))^2)/sum((y-mean(y))^2)) > > > [1] 0.4443356 > > > > > > > > ################ This is the biggest model, but its R2 is not the > > biggest, > > > why? > > > > lm=lm(y~x) > > > > y.hat=cbind(rep(1,length(y)),x)%*%lm$coefficients > > > > (r.square=sum((y.hat-mean(y))^2)/sum((y-mean(y))^2)) > > > [1] 0.2704789 > > > > > > > > > ---------(2)----------- R2 can greater than 1 > > > > > > > x=rnorm(10) > > > > y=runif(10) > > > > lm=lm(y~x-1) > > > > y.hat=x*lm$coefficients > > > > (r.square=sum((y.hat-mean(y))^2)/sum((y-mean(y))^2)) > > > [1] 3.513865 > > > > > > > > > ---------(3)----------- How is R2 in summary(lm(y~x-1))$r.squared > > > calculated? It is different from (r.square=sum((y.hat-mean > > > (y))^2)/sum((y-mean(y))^2)) > > > > x=matrix(rnorm(20),ncol=2) > > > > xx=cbind(rep(1,10),x) > > > > y=x%*%c(1,2)+rnorm(10) > > > > ### r2 calculated by lm(y~x) > > > > lm=lm(y~x) > > > > summary(lm)$r.squared > > > [1] 0.9231062 > > > > ### r2 calculated by lm(y~xx-1) > > > > lm=lm(y~xx-1) > > > > summary(lm)$r.squared > > > [1] 0.9365253 > > > > ### r2 calculated by me > > > > y.hat=xx%*%lm$coefficients > > > > (r.square=sum((y.hat-mean(y))^2)/sum((y-mean(y))^2)) > > > [1] 0.9231062 > > > > > > > > > Thanks a lot for any cue:) > > > > > > > > > > > > > > > -- > > > Junjie Li, [EMAIL PROTECTED] > > > Undergranduate in DEP of Tsinghua University, > > > > > > [[alternative HTML version deleted]] > > > > > > ______________________________________________ > > > R-help@stat.math.ethz.ch mailing list > > > https://stat.ethz.ch/mailman/listinfo/r-help > > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > > and provide commented, minimal, self-contained, reproducible code. > > > > > > > > > -- > > Paul Lynch > > Aquilent, Inc. > > National Library of Medicine (Contractor) > > > > > > -- > Junjie Li, [EMAIL PROTECTED] > Undergranduate in DEP of Tsinghua University, > > [[alternative HTML version deleted]] > -------------------------------------------------------- > > This is not an offer (or solicitation of an offer) to buy/sell the > securities/instruments mentioned or an official confirmation. Morgan > Stanley may deal as principal in or own or act as market maker for > securities/instruments mentioned or may advise the issuers. This is not > research and is not from MS Research but it may refer to a research > analyst/research report. Unless indicated, these views are the author's and > may differ from those of Morgan Stanley research or others in the Firm. We > do not represent this is accurate or complete and we may not update > this. Past performance is not indicative of future returns. For additional > information, research reports and important disclosures, contact me or see > https://secure.ms.com/servlet/cls. You should not use e-mail to request, > authorize or effect the purchase or sale of any security or instrument, to > send transfer instructions, or to effect any other transactions. We cannot > guarantee that any such requests received via e-mail will be processed in a > timely manner. This communication is solely for the addressee(s) and may > contain confidential information. We do not waive confidentiality by > mistransmission. Contact me if you do not wish to receive these > communications. In the UK, this communication is directed in the UK to > those persons who are market counterparties or intermediate customers (as > defined in the UK Financial Services Authority's rules). > -- Junjie Li, [EMAIL PROTECTED] Undergranduate in DEP of Tsinghua University, [[alternative HTML version deleted]]
______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
