Is there a way to update R^2 online?

1- I have a dataset A, and I train a model and measure R^2 2- Now I no longer have access to A but only the R^2 metric 3- Dataset B becomes available, and I want to update the R^2 measurement based on all data points up to here.

Would step 3 be possible without having to access the original dataset? Is there a straightforward mathematical equation for it?

  • 1
    $\begingroup$ There is, but you need to retain more than just $R^2$ to do it: you need the means and the full covariance matrix of regressors and response variables: in other words, all first and second multivariate moments. See stats.stackexchange.com/search?q=online+regression. $\endgroup$
    – whuber
    Apr 12, 2018 at 20:03


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