# Questions tagged [variance-decomposition]

A decomposition of variance explained by a model into additive contributions from each predictor.

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### Variance decomposition with Tweedie distribution – back transform necessary?

We are running a hierarchical random intercept model with a Tweedie distributed dependent variable (see below) and three levels of hierarchy. Our aim is to estimate how much of the total variance (in ...
86 views

### Why does variance decomposition not exist in logistic regression?

I'm quite confused when reading some materials, it says the reason we use pseudo R-square in logistic regression is that the variance decomposition cannot hold. I get the idea that the variance of $y$ ...
31 views

### Forecast error variance decomposition

Nagayasu uses forecast error variance decomposition (FEVD) to prove a bidirectional causal relationship between endogenous stationary variables in a two-dimensional vector autoregression (VAR). What ...
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### STL decomposition - independence of components

Let's suppose we have 3 vectors $U_1$, $U_2$ and $U_3$ we construct another vector $V=U_1+U_2+U_3$. If $X$, $Y$ and $Z$ and independent, we can expect that $VAR(V)=\sum_{i=1}^3 VAR(U_i)$, right? Now ...
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### Interpretation of Impulse Response and Variance Decomposition Graphs

I am finding it difficult to interpret the following impulse response and variance decomposition graphs - basically studying the effect of currencies on each other. I know the results from the Granger ...
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### Decomposition of a random vector into uncorrelated components

I have a set of random vectors $Y_i$ and their correlation matrix $C_{i,j}$. Each vector can be thought of as a sum of two uncorrelated vectors $Y_i=A_iX+B_iY$, where $X,Y$ are the same vectors for ...
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My question is a really simple one but those are the ones that really get me :) I don't really know how to evaluate if a specific time series is to be decomposed using an additive or a multiplicative ...
5k views

### Meaning of covariance matrix row sums

Say I have an $n \times n$ covariance matrix for a sample set of $n$ random variables. Is there any meaning if the sum of the rows of this matrix? Is it a meaningful measurement of the contribution ...
• 453
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### How to split r-squared between predictor variables in multiple regression?

I have just read a paper in which the authors carried out a multiple regression with two predictors. The overall r-squared value was 0.65. They provided a table which split the r-squared between the ...
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