Added RSquared class (and test - in TD like you mean it style) to the project.

src/Numerics/GoodnessOfFit/RSquared.cs

@@ -0,0 +1,45 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using MathNet.Numerics.LinearAlgebra.Double;
+
+namespace MathNet.Numerics.GoodnessOfFit
+{
+    public class RSquared
+    {
+        /// <summary>
+        /// Calculated the R-Squared value given modelled and observed values
+        /// </summary>
+        /// <param name="modelledValues">The values expected from the modelled</param>
+        /// <param name="observedValues">The actual data set values obtained</param>
+        /// <returns></returns>
+        public static double RSqr(IEnumerable<double> modelledValues, IEnumerable<double> observedValues)
+        {
+            var modelledData = modelledValues as double[] ?? modelledValues.ToArray();
+            var observedData = observedValues as double[] ?? observedValues.ToArray();
+            var observedDataCount = observedData.Count();
+            if ( modelledData.Count() != observedDataCount)
+            {
+                throw new ArgumentException("Dataset length mismatch");
+            }
+
+            var observedSum = observedData.Sum();
+            var modelledSum = modelledData.Sum();
+
+            var sumObservedByModelled = 0d;
+
+            for (var itemIndex = 0; itemIndex < observedDataCount; itemIndex++)
+            {
+                sumObservedByModelled += (observedData[itemIndex] * modelledData[itemIndex]);
+            }
+
+            var sumObservedSquared = observedData.Sum(item => item * item);
+            var sumModelledSquared = modelledData.Sum(item => item * item);
+
+            return Math.Pow(( observedDataCount * sumObservedByModelled - observedSum * modelledSum ) /
+                Math.Sqrt((observedDataCount * sumObservedSquared - Math.Pow(observedSum, 2)) 
+                    * (observedDataCount * sumModelledSquared - Math.Pow(modelledSum, 2))), 2);
+        }
+    }
+}

src/Numerics/Numerics.csproj

@@ -87,6 +87,7 @@
     <Reference Include="System.Xml" />
   </ItemGroup>
   <ItemGroup>
+    <Compile Include="GoodnessOfFit\RSquared.cs" />
     <Compile Include="Precision.Comparison.cs" />
     <Compile Include="Precision.Equality.cs" />
     <Compile Include="Distributions\Bernoulli.cs" />
@@ -439,5 +440,6 @@
       <SubType>Designer</SubType>
     </EmbeddedResource>
   </ItemGroup>
+  <ItemGroup />
   <Import Project="$(MSBuildToolsPath)\Microsoft.CSharp.targets" />
 </Project>

src/UnitTests/GoodnessOfFit/RSquaredTest.cs

@@ -0,0 +1,73 @@
+using System;
+using System.Collections.Generic;
+using System.Linq;
+using System.Text;
+using System.Threading.Tasks;
+using MathNet.Numerics.GoodnessOfFit;
+using NUnit.Framework;
+
+namespace MathNet.Numerics.UnitTests.GoodnessOfFit
+{
+    [TestFixture]
+    public class RSquaredTest
+    {
+        /// <summary>
+        /// Test the R-squared value of a values with itself
+        /// </summary>
+        [Test]
+        public void WhenCalculatingRSquaredOfLinearDistributionWithItselfThenRSquaredIsOne()
+        {
+            var data = new List<double>();
+            for (int i = 1; i <= 10; i++)
+                data.Add(i);
+
+            Assert.That(RSquared.RSqr(data, data), Is.EqualTo(1));
+        }
+
+        [Test]
+        [ExpectedException(typeof(ArgumentException))]
+        public void WhenGivenTwoDatasetsOfDifferentSizeThenThrowsArgumentException()
+        {
+            var observedData = new List<double>()
+            {
+                23
+                ,9
+                ,5
+                ,7
+                ,10
+                ,5
+                ,4
+                ,1
+                ,2
+                ,1
+            };
+
+            var modelledData = new List<double>()
+            {
+                8
+                ,9
+                ,10
+            };
+
+            RSquared.RSqr(modelledData, observedData);
+
+            Assert.Fail("Expected ArgumentException exception wasn't thrown");
+        }
+
+        [Test]
+        public void WhenCalculatingRSquaredOfUnevenDistributionWithLInearDistributionThenRSquaredIsCalculated()
+        {
+            var observedData = new List<double>()
+            {
+                1, 2.3, 3.1, 4.8, 5.6, 6.3
+            };
+
+            var modelledData = new List<double>()
+            {
+                2.6, 2.8, 3.1, 4.7, 5.1, 5.3
+            };
+
+            Assert.That(Math.Round(RSquared.RSqr(modelledData, observedData), 11), Is.EqualTo(Math.Round(0.94878520708673d, 11)));
+        }
+    }
+}

src/UnitTests/UnitTests.csproj

@@ -133,6 +133,7 @@
     <Compile Include="FinancialTests\GainMeanTests.cs" />
     <Compile Include="FinancialTests\LossStandardDeviationTests.cs" />
     <Compile Include="FinancialTests\SemiDeviationTests.cs" />
+    <Compile Include="GoodnessOfFit\RSquaredTest.cs" />
     <Compile Include="IntegralTransformsTests\FourierTest.cs" />
     <Compile Include="IntegralTransformsTests\HartleyTest.cs" />
     <Compile Include="IntegralTransformsTests\InverseTransformTest.cs" />