[jira] [Commented] (SPARK-9005) RegressionMetrics computing incorrect explainedVariance and r2

["Feynman Liang (JIRA)" <ji...@apache.org>]

    [ https://issues.apache.org/jira/browse/SPARK-9005?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=14623944#comment-14623944 ] 

Feynman Liang commented on SPARK-9005:
--------------------------------------

I will be working on this.

> 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
>
> {{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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