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What formula for r-squared does fitlm use in the weighted linear regression case?

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If I use fitlm as:
mdl = fitlm(X,Y,'Weights',W);
can someone tell me the formula used in computing the r-squared that's here:
I am seeing a different result when compared to JMP. Thanks.

Risposte (1)

Matt J
Matt J il 7 Feb 2024
  2 Commenti
Paul Safier
Paul Safier il 7 Feb 2024
Modificato: Paul Safier il 7 Feb 2024
Thanks @Matt J. It says Rsq = 1 - SSE/SST. Not seeing where the equation for SSE or SST is given in the weighted LS case. It ought to be different for OLS vs WLS. I'm interested in what MATHWORKS uses specifically for WLS.
Matt J
Matt J il 7 Feb 2024
Modificato: Matt J il 7 Feb 2024
I don't believe weights are taken into account in the computation of R2. This should be easy to verify, by comparing the stack exchange formulas (both weighted and unweighted) to what Matlab gves you.

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