$Y, X_1, ...., X_k$ are all iid $N(0,1)$ with $n$ samples.I can't make any progress on this problem... I don't even know an approximation but from simulation it seems to be $k/n$.
- What is the expectation of $R^2$ for $ Y \sim \alpha + \beta X_1$?
- What is the expectation of $R^2$ with $k$ independent variables?
For the case of one variable, I was trying to find the expectation of the correlation squared of $X_1,Y$ but I have no luck.
For the case of one variable, I was trying to find the expectation of the correlation squared of $X_1,Y$ but I have no luck.
I see this problem (Expected Value of R squared), but there doesn't seem to be a solution to the simpler gaussian case.