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
$$
R^2 = \frac{Var(mean) - Var(fit)}{Var(mean)}
$$
Or
$$
R^2 = \text{Pearson Co-relation}^2
$$

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