What formula for r-squared does fitlm use in the weighted linear regression case?

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Paul Safier
Paul Safier 2024-2-7
编辑： Matt J 2024-2-7
If I use fitlm as:
mdl = fitlm(X,Y,'Weights',W);
can someone tell me the formula used in computing the r-squared that's here:
mdl.Rsquared.Ordinary
I am seeing a different result when compared to JMP. Thanks.

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回答（1 个）

Matt J
Matt J 2024-2-7
  2 个评论
Paul Safier
Paul Safier 2024-2-7
编辑：Paul Safier 2024-2-7
Thanks @Matt J. It says Rsq = 1 - SSE/SST. Not seeing where the equation for SSE or SST is given in the weighted LS case. It ought to be different for OLS vs WLS. I'm interested in what MATHWORKS uses specifically for WLS.
https://stats.stackexchange.com/questions/439590/how-does-r-compute-r-squared-for-weighted-least-squares
Matt J
Matt J 2024-2-7
编辑：Matt J 2024-2-7
I don't believe weights are taken into account in the computation of R2. This should be easy to verify, by comparing the stack exchange formulas (both weighted and unweighted) to what Matlab gves you.

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