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