targeted (version 0.5)

calibration: Calibration (training)

Description

Calibration for multiclassication methods

Usage

calibration(
  pr,
  cl,
  weights = NULL,
  threshold = 10,
  method = "bin",
  breaks = nclass.Sturges,
  df = 3,
  ...
)

Value

An object of class 'calibration' is returned. See calibration-class

for more details about this class and its generic functions.

Arguments

pr

matrix with probabilities for each class

cl

class variable

weights

counts

threshold

do not calibrate if less then 'threshold' events

method

either 'isotonic' (pava), 'logistic', 'mspline' (monotone spline), 'bin' (local constant)

breaks

optional number of bins (only for method 'bin')

df

degrees of freedom (only for spline methods)

...

additional arguments to lower level functions

Author

Klaus K. Holst

Details

...

Examples

sim1 <- function(n, beta=c(-3, rep(.5,10)), rho=.5) {
 p <- length(beta)-1
 xx <- lava::rmvn0(n,sigma=diag(nrow=p)*(1-rho)+rho)
 y <- rbinom(n, 1, lava::expit(cbind(1,xx)%*%beta))
 d <- data.frame(y=y, xx)
 names(d) <- c("y",paste0("x",1:p))
 return(d)
}

set.seed(1)
beta <- c(-2,rep(1,10))
d <- sim1(1e4, beta=beta)
a1 <- NB(y ~ ., data=d)
a2 <- glm(y ~ ., data=d, family=binomial)
## a3 <- randomForest(factor(y) ~ ., data=d, family=binomial)

d0 <- sim1(1e4, beta=beta)
p1 <- predict(a1, newdata=d0)
p2 <- predict(a2, newdata=d0, type="response")
## p3 <- predict(a3, newdata=d0, type="prob")

c2 <- calibration(p2, d0$y, method="isotonic")
c1 <- calibration(p1, d0$y, breaks=100)
if (interactive()) {
  plot(c1)
  plot(c2,col="red",add=TRUE)
  abline(a=0,b=1)##'
  with(c1$xy[[1]], points(pred,freq,type="b", col="red"))
}

set.seed(1)
beta <- c(-2,rep(1,10))
dd <- lava::csplit(sim1(1e4, beta=beta), k=3)
mod <- NB(y ~ ., data=dd[[1]])
p1 <- predict(mod, newdata=dd[[2]])
cal <- calibration(p1, dd[[2]]$y)
p2 <- predict(mod, newdata=dd[[3]])
pp <- predict(c1, p2)
cc <- calibration(pp, dd[[3]]$y)
if (interactive()) {##'
  plot(cal)
  plot(cc, add=TRUE, col="blue")
}