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Why I'm Not a Fan of R-Squared

Why I’m Not a Fan of R-Squared

The Big Message People sometimes use \(R^2\) as their preferred measure of model fit. Unlike quantities such as MSE or MAD, \(R^2\) is not a function only of model’s errors, its definition contains an implicit model comparison between the model being analyzed and the constant model that uses only the observed mean to make predictions. […]