In statistics, the coefficient of multiple correlation is a measure of how well a given variable can be predicted using a linear function of a set of other variables. It is the correlation between the variable's values and the best predictions that can be computed linearly from the predictive variables.
Contents
The coefficient of multiple correlation takes values between 0 and 1; a higher value indicates a better predictability of the dependent variable from the independent variables, with a value of 1 indicating that the predictions are exactly correct and a value of 0 indicating that no linear combination of the independent variables is a better predictor than is the fixed mean of the dependent variable.
The coefficient of multiple correlation is computed as the square root of the coefficient of determination, but under the particular assumptions that an intercept is included and that the best possible linear predictors are used, whereas the coefficient of determination is defined for more general cases, including those of nonlinear prediction and those in which the predicted values have not been derived from a model-fitting procedure.
Definition
The coefficient of multiple correlation, denoted R, is a scalar that is defined as the Pearson correlation coefficient between the predicted and the actual values of the dependent variable in a linear regression model that includes an intercept.
Computation
The square of the coefficient of multiple correlation can be computed using the vector
where
If all the predictor variables are uncorrelated, the matrix
The squared coefficient of multiple correlation can also be computed as the fraction of variance of the dependent variable that is explained by the independent variables, which in turn is 1 minus the unexplained fraction. The unexplained fraction can be computed as the sum of squared residuals—that is, the sum of the squares of the prediction errors—divided by the sum of the squared deviations of the values of the dependent variable from its expected value.
Properties
With more than two variables being related to each other, the value of the coefficient of multiple correlation depends on the choice of dependent variable: a regression of