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Exploring the XI Correlation Coefficient

Nina Zumel Recently, we’ve been reading about a new correlation coefficient, \(\xi\) (“xi”), which was introduced by Professor Sourav Chatterjee in his paper, “A New Coefficient of Correlation”. The \(\xi\) coefficient has the following properties: If \(y\) is a function of \(x\), then \(\xi\) goes to 1 asymptotically as \(n\) […]

Correlation and R-Squared

What is R2? In the context of predictive models (usually linear regression), where y is the true outcome, and f is the model’s prediction, the definition that I see most often is: In words, R2 is a measure of how much of the variance in y is explained by the […]