R-squared Value

  • $R^2$ gives the percentage of variation between two dataset
  • It can't show positive or negative relationship like Pearson Correlation
  • But it can reliably show if two dataset has relationship
  • And $R^2$ doesn't have any scale influence, so same relation with different scale with get same $R^2$ value.
  • As $R^2$ only works with Continuous variable. For discrete variables, see Mutual Information

[!def] R^2 Formula
R^2 = \frac{Var(mean) - Var(fit)}{Var(mean)}
R^2 = \text{Pearson Co-relation}^2

  • $R^2 = 0.81$ means 81% relation is explained by the features than mean