RSS, MSE, RMSE, RSE, TSS, R2 and Adjusted R2
This post is written by courtesy of:
以下假设 sample 有
The Residual Sum of Squares (RSS) is the sum of the squared residualsPermalink
以下三个概念等价 (我无话可说):
- RSS: Residual Sum of Squares
- SSR: Sum of Squared Residuals
- SSE: Sum of Squared Errors
The Mean Squared Error (MSE) is the mean of RSSPermalink
The Root Mean Squared Error (RMSE) is the square root of MSEPermalink
The Residual Standard Error (RSE) is the square root of Permalink
where
is the number of predictors- i.e.
is the number of right-hand-side variables, including the intercept, in a regression model
- i.e.
denotes the degrees of freedom.
The Total Sum of Squares (TSS) is related with variance and not a metric on regression modelsPermalink
where
Further we have
and Adjusted Permalink
Chain ReactionPermalink
当趋向 overfitting 时(比如 predictor 增多,模型变 flexible 时):
- RSS ↓
- MSE ↓
- RMSE ↓
- 如果是 predicator 增多,那么 RSE 无法断定是上升还是下降
- TSS →
↑- Adjusted
不好说(这正是 adjustment 的体现)
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