Coefficient of Multiple Determination
Statistics • Multiple Regression
Frequently Asked Questions
What is the coefficient of multiple determination (R^2) in multiple regression?
R^2 measures the proportion of variability in the response variable y explained by the selected predictors in the model. Values closer to 1 indicate more of the variance in y is explained by the predictors.
How is R^2 computed from sums of squares?
R^2 is computed using the variance decomposition with total variability SST and explained variability SSR. A common form is R^2 = SSR / SST, which is equivalent to 1 - SSE / SST.
What is the difference between R^2 and adjusted R^2?
Adjusted R^2 penalizes adding predictors that do not meaningfully improve the model, accounting for sample size and the number of predictors. It can decrease when you add weak predictors, while R^2 typically does not.
Why does R^2 usually increase when I add more predictors?
Adding predictors gives the model more flexibility to fit the observed data, which tends to reduce SSE and increase R^2. This is why adjusted R^2 is useful for balancing fit against model complexity.
How do I compare two regression models with this calculator?
Turn on Compare two models, then choose predictors for Model A and Model B. The calculator reports each model's R^2 (and adjusted R^2 if enabled) and shows the difference between the two models.