R/sq.correl.R

In corrfuns: Correlation Coefficient Related Functions

sq.correl <- function(y, x) {
  ## y is the dependent variable
  ## x is the independent variable
  n <- dim(y)[1]      ;   d <- dim(y)[2]
  y <- as.matrix(y)   ;   x <- as.matrix(x)
  y <- Rfast::standardise(y, center = TRUE, scale = FALSE)  ## centering of Y
  YY <- crossprod(y)
  X <- cbind(1, x)
  U <- .lm.fit(X, y)$residuals
  if ( !is.matrix(U) )  U <- matrix(U)
  UU <- crossprod(U)
  D <- solve(YY, UU)
  r2T <- mean( 1 - diag( D ) )
  r2D <- det( diag(d) - D )
  result <- c(r2T, r2D)
  names(result) <- c("Trace R^2", "Det R^2")
  result
}