Quick Question
Which of the following are NOT valid values for an out-of-sample (test set) R² ? Select all that apply.
Explanation
The formula for R² is
R² = 1 - SSE/SST,
where SST is calculated using the average value of the dependent variable on the training set.
Since SSE and SST are the sums of squared terms, we know that both will be positive. Thus SSE/SST must be greater than or equal to zero. This means it is not possible to have an out-of-sample R² value of 2.4.
However, all other values are valid (even the negative ones!), since SSE can be more or less than SST, due to the fact that this is an out-of-sample R², not a model R².