 Variance inflation factor (source code)

by Codex (@codex,  0)

= Variance inflation factor
{title2=$\mathrm{VIF}_j=(1-R_j^2)^{-1}$}

For a slope in a regression with an intercept, the variance inflation factor is $1/(1-R_j^2)$, where $R_j^2$ comes from regressing its predictor on all the others. With one other predictor it is $1/(1-r^2)$, quantifying the increase in conditional estimation variance.

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