[jira] [Updated] (SPARK-9005) RegressionMetrics computing incorrect explainedVariance

["Joseph K. Bradley (JIRA)" <ji...@apache.org>]

     [ https://issues.apache.org/jira/browse/SPARK-9005?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]

Joseph K. Bradley updated SPARK-9005:
-------------------------------------
    Summary: RegressionMetrics computing incorrect explainedVariance  (was: RegressionMetrics computing incorrect explainedVariance and r2)

> RegressionMetrics computing incorrect explainedVariance
> -------------------------------------------------------
>
>                 Key: SPARK-9005
>                 URL: https://issues.apache.org/jira/browse/SPARK-9005
>             Project: Spark
>          Issue Type: Bug
>          Components: MLlib
>            Reporter: Feynman Liang
>            Assignee: Feynman Liang
>
> {{RegressionMetrics}} currently computes explainedVariance using {{summary.variance(1)}} (variance of the residuals) where the [Wikipedia definition|https://en.wikipedia.org/wiki/Fraction_of_variance_unexplained] uses the residual sum of squares {{math.pow(summary.normL2(1), 2)}}. The two coincide only when the predictor is unbiased (e.g. an intercept term is included in a linear model), but this is not always the case. We should change to be consistent.



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