Feynman Liang created SPARK-9005:
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Summary: RegressionMetrics computing incorrect explainedVariance
and r2
Key: SPARK-9005
URL: https://issues.apache.org/jira/browse/SPARK-9005
Project: Spark
Issue Type: Bug
Components: MLlib
Reporter: Feynman Liang
{{RegressionMetrics}} currently computes explainedVariance using
{{summary.variance(1)}} (variance of the residuals) where the [Wikipedia
definition|https://en.wikipedia.org/wiki/Fraction_of_variance_unexplained] uses
the residual sum of squares {{math.pow(summary.normL2(1), 2)}}. We should
change to be consistent.
The computation for r2 is also currently incorrect. Multiplying by
{{summary.count - 1}} appears to be trying to compute an adjusted r2, but the
lack of a DoF adjustment in the numerator makes the computation inconsistent
with [Wikipedia's
definition|https://en.wikipedia.org/wiki/Coefficient_of_determination]. Since
{{RegresionMetrics}} is not given the number of regression variables, we should
modify and explicitly document that this computes unadjusted R2.
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