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R squared has extremely nice properties. If you add a bunch of linearly uncorrelated variables together, then compute R² between each variable and the sum, the
by snarkconjecture 2y ago
R squared has extremely nice properties. If you add a bunch of linearly uncorrelated variables together, then compute R² between each variable and the sum, the R² values will sum to 1.
- cubefox 2y agoR (ρ) has also a nice property: > if X,Y,Z are "generic" random variables such that ρ(X,Y)=a and ρ(Y,Z)=b, we should on average expect that ρ(X,Z)=ab. https://www.lesswrong.com/posts/vfb5Seaaqzk5kzChb/when-is-correlation-transitive https://www.lesswrong.com/posts/vfb5Seaaqzk5kzChb/when-is-co...