6/23/2017 regressionWhatisthedifferencebetween"coefficientofdetermination"and"meansquarederror"?

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Whatisthedifferencebetweencoefficientofdeterminationandmeansquarederror?

Forregressionproblem,Ihaveseenpeopleuse"coefficientofdetermination"(a.k.aRsquared)toperformmodelselection,e.g.,findingthe
appropriatepenaltycoefficientforregularization.

However,itisalsocommontouse"meansquarederror"or"rootmeansquarederror"asameasureofregressionaccuracy.

Sowhatisthemaindifferencebetweenthesetwo?Couldtheybeusedinterchangeablyfor"regularization"and"regression"tasks?Andwhatare
themainusageofeachinpractice,suchasinmachinelearning,dataminingtasks?

regression rsquared

editedJul19'12at8:51 askedJul19'12at5:35
chl dolaameng
40.3k 6 141 266 173 1 1 5

1Answer

SSE
R
2
= 1
SST
,whereS S Eisthesumofsquarederror(residualsordeviationsfromthe
regressionline)andS S T isthesumofsquareddeviationsfromthedependent'sY mean.
SSE
MSE =
nm
,wheren isthesamplesizeandm isthenumberofparametersinthemodel
(includingintercept,ifany).

R
2
isastandardizedmeasureofdegreeofpredictedness,orfit,inthesample.M S Eisthe
estimateofvarianceofresiduals,ornonfit,inthepopulation.Thetwomeasuresareclearly
related,asseeninthemostusualformulaforadjustedR2 (theestimateofR2 forpopulation):

n1 SSE/(nm) M SE
R
2
adj
= 1 (1 R )
2

nm
= 1 = 1
2
.
SST /(n1) y

answeredJul19'12at8:45
ttnphns
30.2k 5 84 215

Theexplanationisclearandintuitive.Thanks! dolaameng Jul19'12at12:03

1 IthoughtMSEistheavgoftheerrors,whichmeansMSE=SSE/n,onwhatoccasionsdoweuseMSE=SSE/(nm)?
Pleaseexplain.ThanksSincoleBransJul25'14at6:52

@SincoleBransPleaseseeen.wikipedia.org/wiki/Mean_squared_error,section"Regression".ttnphnsJul25'14
at12:12

https://stats.stackexchange.com/questions/32596/whatisthedifferencebetweencoefficientofdeterminationandmeansquared 1/1