HTRX (version 1.2.4)

computeR2: Compute variance explained by models

Description

Compute the variance explained by a linear or generalized linear model.

Usage

mypredict(model, newdata)
computeR2(pred, outcome, usebinary = 1)

Value

mypredict returns a vector of the predicted outcome.

computeR2 returns a positive number of the variance explained by the linear model (conventional R²) or the generalized linear model (McFadden's R²).

Arguments

model

a fitted model, which is the output of themodel.

newdata

a data frame which contains all the variables included in the model. This data frame is used to make prediction on.

pred

a vector of the predicted outcome.

outcome

a vector of the actual outcome.

usebinary

a non-negative number representing different models. Use linear model if usebinary=0, use logistic regression model via fastglm if usebinary=1 (by default), and use logistic regression model via glm if usebinary>1.

Details

The variance explained by a linear model is based on the conventional R². As for logistic regression, we use McFadden's R².

References

McFadden, Daniel. "Conditional logit analysis of qualitative choice behavior." (1973).

Examples

## create datasets
x=matrix(runif(100,-2,2),ncol=5)
outcome=(0.5*x[,2] - 0.8*x[,4] + 0.3*x[,5])>runif(100,-2,2)

## create binary outcome
outcome[outcome]=1
data=data.frame(outcome,x)

## compute the variance explained by features
model=themodel(outcome~.,data[1:80,],usebinary=1)
outcome_predict=mypredict(model,data[81:100,])
computeR2(outcome_predict,data[81:100,'outcome'],usebinary=1)