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R-squared for Bayesian Regression Models

2018; Taylor & Francis; Volume: 73; Issue: 3 Linguagem: Inglês

10.1080/00031305.2018.1549100

1537-2731

Andrew Gelman, Ben Goodrich, Jonah Gabry, Aki Vehtari,

Financial Risk and Volatility Modeling

The usual definition of R2 (variance of the predicted values divided by the variance of the data) has a problem for Bayesian fits, as the numerator can be larger than the denominator. We propose an alternative definition similar to one that has appeared in the survival analysis literature: the variance of the predicted values divided by the variance of predicted values plus the expected variance of the errors.