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Coefficient of Determination
(redirected from Squared multiple correlation)

   Also found in: Acronyms, Encyclopedia, Wikipedia 0.01 sec.
Coefficient of determination
A measure of the goodness of fit of the relationship between the dependent and independent variables in a regression analysis; for instance, the percentage of variation in the return of an asset explained by the market portfolio return. Also known as R-square.

R Square
In statistics, the percentage of a portfolio's performance explainable by the performance of a benchmark index. The R square is measured on a scale of 0 to 100, with a measurement of 100 indicating that the portfolio's performance is entirely determined by the benchmark index, perhaps by containing securities only from that index. A low R square indicates that there is no significant relationship between the portfolio and the index. An R Square is also called the coefficient of determination. See also: Beta.


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Strength of univariate relationship is shown as a function of variance accounted for, or as a partial squared multiple correlation ([R.
[FIGURE 3 OMITTED] In Figure 3, the numbers on the arrows indicate standardized regression weights and the numbers on top of the circles indicate squared multiple correlation coefficients.
According to this author, a suppressor variable is present when the squared multiple correlation with all the relevant predictors entered in the regression equation ([R.
 
 
 
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