Coefficient of determination

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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.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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Table 5 Squared Multiple Correlations: (Group number 1 - Default model)
Researchers can now compute a confidence interval for a squared multiple correlation using a simple R command (see Kelley, 2007).
To obtain [w.sub.1] use the ci * R2 function in the "MBESS" R package with the sample size set to n and the sample squared multiple correlation set to its expected value.
Squared multiple correlations of subscales of the Urinary Incontinence Attitude Scale were 0.96 (ATTITUDEA) and 0.85 (ATTITUDEB).
Subscale squared multiple correlations also served as a reliability estimate.
First, it is well known that the distribution of sample squared multiple correlation is generally skewed.
The sample squared multiple correlation coefficient [R.sup.2] is a prevailing strength of association effect size measure for the population squared multiple correlation coefficient [[rho].sup.2] between the criterion variable and the set of predictor variables.
The adequacy of the proposed structural model was evaluated by testing the significance of the parameters and by estimating the reliabilities of the factors and the average variances extracted from the factors--the squared multiple correlations ([R.sup.2]) for each item (Joreskog and Sorbom, 1993)--which provide a direct index of item performance for each factor.
Regression coefficients, correlation coefficients, squared multiple correlations, and model fit indices for the path model.
% Bus 410 1.10 Lorry 2993 8.00 Motorcar 13,630 36.44 Motorcycle 17,827 47.66 Others 2,548 6.81 Total 37,408 100.00 TABLE 3: Regression weights, standardized regression weights, variance, and squared multiple correlations. (a) Regression weights and standardized regression weights Unstandardized Standardized coefficient coefficient est.
Squared multiple correlations for the two endogenous variables, individualized consideration and class grade, were 0.04 and 0.13 respectively.