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Refers to a general estimation technique that selects the parameter value to minimize the squared difference between two quantities, such as the observed value of a variable, and the expected value of that observation conditioned on the parameter value. Gaussian linear models are fit by least squares and least squares is the idea underlying the use of mean-squared-error (MSE) as a way of evaluating an estimator.

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Negative R2 on Simple Linear Regression (with intercept)

I am doing a simple Linear Regression (with intercept) which ends up presenting a negative R2, this should not be possible (cf comment 2 at the end) Reproducible examples of the issue: Minimal sklear …
Jean Lescut's user avatar
11 votes
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Negative R2 on Simple Linear Regression (with intercept)

Detailed explanation of the problem: In the case of X being near-singular (high colinearity/covariance between features), different issues where coming both from scipy.linalg.lstsq() and sklearn.linea …
Jean Lescut's user avatar