R-squared for Bayesian Regression Models

作者：Andrew Gelman, Ben Goodrich, Jonah Gabry, Aki Vehtari · 发表于：The American Statistician · 年份：2018 · DOI：10.1080/00031305.2018.1549100 · 被引用次数：967 · 研究领域：Statistical Methods and Inference、Statistical Methods and Bayesian Inference、Financial Risk and Volatility Modeling

The usual definition of R2 (variance of the predicted values divided by the variance of the data) has a problem for Bayesian fits, as the numerator can be larger than the denominator. We propose an alternative definition similar to one that has appeared in the survival analysis literature: the variance of the predicted values divided by the variance of predicted values plus the expected variance of the errors.