联立方程组的r平方怎么计算？

xingjwchina

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收藏 2011-08-15

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请问联立方程组的r平方如何计算？

有个说法如下：
the formula is as follows:

1- det[ee]/det[yy] where [ee] is the covariance matrix of residuals of system and [yy] is the covariance matrix of all left hand (dependent) variables of system, and det is the determinant. So for your alpha system where you have a system of 24 equations, the [ee] and [yy] matrixes each has dimension 24x24.

不知道是不是正确，以及YY的异方差矩阵是否就是指的样本本身？与系统估计无关么？

求解！