# Informational value of R squared and correlation? [closed]

Taleb has previously undermined the typical interpretation of correlation with regards to the informational value it carries, showing how the uncertainty is reduced in a non-linear fashion.

With regards to a graph showing the relationship between COVID death tolls at lockdown time and the daily deaths afterwards, where the 15% of explained variability ($$R^2$$) was being used to defend the contribution, he makes the following statement:

an R-squared of .15 means, if you look at it generously, that almost all the variance is for random reasons, something like ~98% (conventional) or (entropy) >99.9%

How can these exact numbers be explained?
Is it related to the sampling distribution of the R^2?

Why is this such an unorthodox interpretation of these statistics?

• I would say that statement is in general wrong. He or she may have been talked about a specific case. – user209249 Apr 14 at 21:34
• @Sören I would say it is a general statement. He has previously undermined the informational value of correlation from a mutual information lens (twitter.com/nntaleb/status/1135116646442590208 here, for instance), but I am not sure I follow the distinction, nor why it seems to be an unorthodox or uncommon approach to interpret these statistics. – Kuku Apr 14 at 21:40
• $98\%?$ Why not $85\%?$ – Dave Apr 14 at 21:46
• @Dave I assume it to be since the informational value of a statistic is different from the amount of explained variance in the sample. But the derivation of those numbers (which I assume are related to information theory) is the gist of my question, indeed. – Kuku Apr 14 at 21:48
• I think it means that Taleb thought not enough people were paying attention to him, so he should say something else that made little sense but would get headlines. – Peter Flom Apr 15 at 12:02

The statement is incorrect. If the $$r$$-value were 0.15 then $$r^2$$, i.e., the 'explained fraction' would be 0.0225, which would then leave 0.9775 unexplained. However, 0.15 is already $$r^2$$ which means that $$r=\sqrt{0.15}\approx0.387$$, such that the explained fraction is 15%, and unexplained 85%