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Posted to issues@spark.apache.org by "Apache Spark (JIRA)" <ji...@apache.org> on 2015/07/13 02:12:04 UTC
[jira] [Assigned] (SPARK-9005) RegressionMetrics computing
incorrect explainedVariance and r2
[ https://issues.apache.org/jira/browse/SPARK-9005?page=com.atlassian.jira.plugin.system.issuetabpanels:all-tabpanel ]
Apache Spark reassigned SPARK-9005:
-----------------------------------
Assignee: Apache Spark
> RegressionMetrics computing incorrect explainedVariance and r2
> --------------------------------------------------------------
>
> Key: SPARK-9005
> URL: https://issues.apache.org/jira/browse/SPARK-9005
> Project: Spark
> Issue Type: Bug
> Components: MLlib
> Reporter: Feynman Liang
> Assignee: Apache Spark
>
> {{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)}}. We should change to be consistent.
> The computation for r2 is also currently incorrect. Multiplying by {{summary.count - 1}} appears to be trying to compute an adjusted r2, but the lack of a DoF adjustment in the numerator makes the computation inconsistent with [Wikipedia's definition|https://en.wikipedia.org/wiki/Coefficient_of_determination]. Since {{RegresionMetrics}} is not given the number of regression variables, we should modify and explicitly document that this computes unadjusted R2.
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