deviance.glmnet: Extract the deviance from a glmnet object

Description

Compute the deviance sequence from the glmnet object

Usage

# S3 method for glmnet
deviance(object,...)

Arguments

object

fitted glmnet object

…

additional print arguments

Value

(1-dev.ratio)*nulldev

Details

A glmnet object has components dev.ratio and nulldev.
The former is the fraction of (null) deviance explained. The deviance calculations incorporate weights if
present in the model. The deviance is defined to be 2*(loglike_sat -
loglike), where loglike_sat is the log-likelihood for the saturated
model (a model with a free parameter per observation).
Null deviance is defined to
be 2*(loglike_sat -loglike(Null)); The NULL model refers to the
intercept model, except for the Cox, where it is the 0 model. Hence
dev.ratio=1-deviance/nulldev, and this
deviance method returns (1-dev.ratio)*nulldev.

References

Friedman, J., Hastie, T. and Tibshirani, R. (2008)
Regularization Paths for Generalized Linear Models via Coordinate
Descent