weighted_r_squared.js

// Source: https://stats.stackexchange.com/questions/83826/is-a-weighted-r2-in-robust-linear-model-meaningful-for-goodness-of-fit-analys/375752#375752
// Article: Willet and Singer (1988): https://gseacademic.harvard.edu/~willetjo/pdf%20files/Willett_Singer_AS88.pdf
function weightedRsquared(x, func, weights) {
  if (!weights) weights = x.map(v => 1);
  // Compute the weighted average y value for the actual
  // data set in order to compute the
  // _total sum of squares_
  let sum = 0;
  for (let i = 0; i < x.length; i++) {
    sum += x[i][1] * weights[i];
  }

  let sumOfWeights = 0;
  for (let j = 0; j < x.length; j++) {
    sumOfWeights += weights[j];
  }

  const average = sum / sumOfWeights;

  let sse = 0;
  for (let k = 0; k < x.length; k++) {
    sse += weights[k] * Math.pow(x[k][1] - func(x[k][0]), 2);
  }

  let sst = 0;
  for (let l = 0; l < x.length; l++) {
    sst += weights[l] * Math.pow(x[l][1] - average, 2);
  }

  return 1 - sse / sst;
}