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Coefficient of Multiple Correlation

The coefficient of multiple correlation is a measure between 0 and 1 that indicates how well values of a dependent variable can be predicted using a linear combination of independent variables. Higher values mean the dependent variable is more predictable from the independent variables, with a value of 1 indicating perfectly accurate predictions and 0 indicating the independent variables are not predictive. It is calculated as the correlation between the actual and predicted dependent variable values from a linear regression model including an intercept term.

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159 views

Coefficient of Multiple Correlation

The coefficient of multiple correlation is a measure between 0 and 1 that indicates how well values of a dependent variable can be predicted using a linear combination of independent variables. Higher values mean the dependent variable is more predictable from the independent variables, with a value of 1 indicating perfectly accurate predictions and 0 indicating the independent variables are not predictive. It is calculated as the correlation between the actual and predicted dependent variable values from a linear regression model including an intercept term.

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isabella343
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
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Coefficient of multiple correlation

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.[1]

The coefficient of multiple correlation takes values between 0 and 1. Higher values indicate higher
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.[2]

The coefficient of multiple correlation is known 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
of correlations between the predictor variables (independent
variables) and the target variable (dependent variable), and the correlation matrix of correlations
between predictor variables. It is given by

where is the transpose of , and is the inverse of the matrix

If all the predictor variables are uncorrelated, the matrix is the identity matrix and simply equals
, the sum of the squared correlations with the dependent variable. If the predictor variables are
correlated among themselves, the inverse of the correlation matrix accounts for this.
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 squares of residuals—that is, the sum of
the squares of the prediction errors—divided by the sum of squares of 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 on and will in general have a different
than will a regression of on and . For example, suppose that in a particular sample the variable is
uncorrelated with both and , while and are linearly related to each other. Then a regression of on
and will yield an of zero, while a regression of on and will yield a strictly positive . This
follows since the correlation of with its best predictor based on and is in all cases at least as large as
the correlation of with its best predictor based on alone, and in this case with providing no
explanatory power it will be exactly as large.

References
1. Introduction to Multiple Regression (http://onlinestatbook.com/2/regression/multiple_regressi
on.html)
2. Multiple correlation coefficient (http://mtweb.mtsu.edu/stats/regression/level3/multicorrel/mult
icorrcoef.htm)

Further reading
Allison, Paul D. (1998). Multiple Regression: A Primer. London: Sage Publications.
ISBN 9780761985334
Cohen, Jacob, et al. (2002). Applied Multiple Regression: Correlation Analysis for the
Behavioral Sciences. ISBN 0805822232
Crown, William H. (1998). Statistical Models for the Social and Behavioral Sciences:
Multiple Regression and Limited-Dependent Variable Models. ISBN 0275953165
Edwards, Allen Louis (1985). Multiple Regression and the Analysis of Variance and
Covariance. ISBN 0716710811
Keith, Timothy (2006). Multiple Regression and Beyond. Boston: Pearson Education.
Fred N. Kerlinger, Elazar J. Pedhazur (1973). Multiple Regression in Behavioral Research.
New York: Holt Rinehart Winston. ISBN 9780030862113
Stanton, Jeffrey M. (2001). "Galton, Pearson, and the Peas: A Brief History of Linear
Regression for Statistics Instructors" (https://www.amstat.org/publications/jse/v9n3/stanton.ht
ml), Journal of Statistics Education, 9 (3).

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