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Contents

1
2 R
3 覿覿 覲 伎 覦覯
4 覲覯
5 odds logit
6 蟆郁骸襯 export
7 odds ratio
8 覿襯(confusion matrix)
9 ROC(Receiver-Operating Characteristic curve) 螻′
10 蠏 觜蟲
11
12 譬覲螳 3螳 伎 蟆曙
13 谿瑚襭


1 #

  • 譬覲螳 危(binary type) (odinal type) 蟆曙
    • 譟伎覿
    • 蟲襷れ覿
    • 炎(A,B,C,D)
    • 危覿
  • 襴暑語 一 伎磯 蟯 朱 蠏覿 螳 襦 讌 .

2 R #


蠍磯蓋朱 豌 .
cname <- c("x1", "x2", "x3","x4", "x5", "x6", "y")
german = read.table("c:\\data\\german1.txt", col.names = cname)
options(contrasts = c("contr.treatment", "contr.poly"))
german.object <- glm(y~.,family=binomial, data=german)
summary(german.object)
p <- predict(german.object, german, type="response")
german <- cbind(german, p)
head(german)

p y=1 襯企. 蟲 y=1 覿螻螳企.
> head(german)
   x1 x2  x3 x4 x5 x6 y          p
1 A11  6 A34  4 67  1 0 0.18170622
2 A12 48 A32  2 22  1 1 0.63312134
3 A14 12 A34  3 49  2 0 0.04812842
4 A11 42 A32  4 45  2 0 0.64393801
5 A11 24 A33  4 53  2 1 0.47102819
6 A14 36 A32  4 35  2 0 0.20127115

3 覿覿 覲 伎 覦覯 #

襯 れ, x2螳 覲覃..
  • 一 覲 x4, x5, x6 蠏朱 螻.
  • 伎壱 覲 x1, x3 豕觜螳朱 螻.
  • x2螳 螳 磯 覲 襯螻′ 覲企 .

4 覲覯 #

讌, 覲蟇,
cname <- c("x1", "x2", "x3","x4", "x5", "x6", "y")
german = read.table("c:\\data\\german1.txt", col.names = cname)
#襷  豐蠍磯
g.object <- glm(y~1, family=binomial, data=german)
#讌覯
s.list <- list(upper = update(g.object, ~. +x1+x2+x3+x4+x5+x6))
step(g.object, scope=s.list, direction="forward")
#覲蟇磯
#s.list <- list(lower = update(g.object, ~. -x1-x2-x3-x4-x5-x6))
#step(g.object, scope=s.list, direction="backward")
#
#s.list <- list(upper = update(g.object, ~. +x1+x2+x3+x4+x5+x6), lower = update(g.object, ~. -x1-x2-x3-x4-x5-x6))
#step(g.object, scope=s.list, direction="both")

蟆郁骸
> step(g.object, scope=s.list, direction="forward")
Start:  AIC=1223.73
y ~ 1

       Df Deviance    AIC
+ x1    3   1090.4 1098.4
+ x3    4   1161.3 1171.3
+ x2    1   1177.1 1181.1
+ x5    1   1213.1 1217.1
<none>      1221.7 1223.7
+ x6    1   1221.7 1225.7
+ x4    1   1221.7 1225.7

Step:  AIC=1098.39
y ~ x1

       Df Deviance    AIC
+ x2    1   1051.9 1061.9
+ x3    4   1053.2 1069.2
+ x5    1   1085.0 1095.0
<none>      1090.4 1098.4
+ x4    1   1090.2 1100.2
+ x6    1   1090.3 1100.3

Step:  AIC=1061.9
y ~ x1 + x2

       Df Deviance    AIC
+ x3    4   1022.6 1040.6
+ x5    1   1046.7 1058.7
<none>      1051.9 1061.9
+ x4    1   1051.5 1063.5
+ x6    1   1051.9 1063.9

Step:  AIC=1040.58
y ~ x1 + x2 + x3

       Df Deviance    AIC
+ x5    1   1019.3 1039.3
<none>      1022.6 1040.6
+ x6    1   1022.5 1042.5
+ x4    1   1022.5 1042.5

Step:  AIC=1039.27
y ~ x1 + x2 + x3 + x5

       Df Deviance    AIC
<none>      1019.3 1039.3
+ x4    1   1019.2 1041.2
+ x6    1   1019.3 1041.3

Call:  glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german)

Coefficients:
(Intercept)        x1A12        x1A13        x1A14           x2  
    0.66510     -0.53186     -1.07608     -1.89880      0.03434  
      x3A31        x3A32        x3A33        x3A34           x5  
   -0.09915     -0.94696     -0.93433     -1.52607     -0.01277  

Degrees of Freedom: 999 Total (i.e. Null);  990 Residual
Null Deviance:	    1222 
Residual Deviance: 1019 	AIC: 1039 
> 
豕譬朱 glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german) 螳 . AIC螳 螳 覈語 .

谿瑚: AIC ([http]豢豌)
AIC 糾
 
豕 覈 蟆一 蟆曙 覈 るルリ骸 覈 曙煙 螻ろ伎 . 
覈 るルレ 磯(likelihood)襦 豸′  朱, 
覈 曙煙 覲旧″ 覈 覲企る 螳蟆壱 覈 碁伎 る 蟆朱 
豢 螻 瑚 襷 蟆  覯豺 螳朱 螻る  . 
蠏碁 覈 るリ骸 曙煙 豢(trade-off)蠍一朱, 
 覲旧″ 覈 るレ 郁 覦蟆   . 
磯殊  蠍一 蟷 螻ろ 蠏譴 蟆 . 
蠏瑚 覦襦 覲願鍵譴 蠏朱朱 Akailke  螳覦 
Akaike Information Criterion(AIC)企.

 
   AIC = -2 log L +2n

 
蠍一 'n': 朱誤 襯 企, 'log L' 磯(log-likelihood). 
 Akailke 覃 AIC糾 螳 豕螳  覈 豈 

D(Deviance) 朱 覈 覈 蟆讀 給企.
cname <- c("x1", "x2", "x3","x4", "x5", "x6", "y")
german = read.table("c:\\data\\german1.txt", col.names = cname)
options(contrasts = c("contr.treatment", "contr.poly"))
german.object <- glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german)
summary(german.object)

蟆郁骸

Call:
glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german)

Deviance Residuals: 
    Min       1Q   Median       3Q      Max  
-1.7997  -0.8007  -0.4747   0.9283   2.4241  

Coefficients:
             Estimate Std. Error z value Pr(>|z|)    
(Intercept)  0.665099   0.476311   1.396 0.162607    
x1A12       -0.531864   0.185402  -2.869 0.004121 ** 
x1A13       -1.076082   0.336956  -3.194 0.001405 ** 
x1A14       -1.898800   0.206314  -9.203  < 2e-16 ***
x2           0.034342   0.006329   5.426 5.76e-08 ***
x3A31       -0.099153   0.474942  -0.209 0.834629    
x3A32       -0.946961   0.370644  -2.555 0.010622 *  
x3A33       -0.934327   0.433303  -2.156 0.031061 *  
x3A34       -1.526069   0.393754  -3.876 0.000106 ***
x5          -0.012765   0.007091  -1.800 0.071821 .  
---
Signif. codes:  0 *** 0.001 ** 0.01 * 0.05 . 0.1   1 

(Dispersion parameter for binomial family taken to be 1)

    Null deviance: 1221.7  on 999  degrees of freedom
Residual deviance: 1019.3  on 990  degrees of freedom
AIC: 1039.3

Number of Fisher Scoring iterations: 4


覲 蟆曙 覿襯 覲願 覲企ゼ . (Y れ蟇磯)
# r: 蟆郁骸set
# r  襭襷 覲伎 plotting
# column 語 T/F  
training <- sqlQuery(conn, "select 
  cnt x1
, logkind x4
              , genre x5
              , diff_cnt x6
              , diff_time x8
              , gamecd x9
              , reg_hh x10
              , case when t <= 2 then 1 else 0 end y
              from temp.dbo.out_data01
              ")

#install.packages("reshape")
#install.packages("ggplot2")
library("reshape")
library("ggplot2")
number_cols <- sapply(training, is.numeric)

r.lng <- melt(training[,number_cols], id="y") # id: 譬覲覈.

p <- ggplot(aes(x=value, group=y, colour=factor(y)), data=r.lng)
p + geom_density() + facet_wrap(~variable,scale="free")

蟆郁骸 れ 蠏碁手骸 螳.
logistic_regression_01.png

蠍一 蠏碁殊 覲願 x6, x8 .

5 odds logit #

轟(蠏碁 豢豌 -> [http])
odds.jpg

襦讌(蠏碁 豢豌 -> [http]) = log odds襯 豺襷 = log(1/(1-p))
log_odds.jpg

pred <- predict(german.object, german, type="response")
logodds <- predict(german.object, german)
german <- cbind(german, pred) #襯
german <- cbind(german, logodds) #れ, odds
head(german)

蟆郁骸
> head(german)
   x1 x2  x3 x4 x5 x6 y       pred    logodds
1 A11  6 A34  4 67  1 0 0.18091034 -1.5101920
2 A12 48 A32  2 22  1 1 0.63503244  0.5538676
3 A14 12 A34  3 49  2 0 0.04865313 -2.9731627
4 A11 42 A32  4 45  2 0 0.64246423  0.5860757
5 A11 24 A33  4 53  2 1 0.46964395 -0.1215737
6 A14 36 A32  4 35  2 0 0.19922819 -1.3911252

2覯讌 Row
x1x2x3x4x5x6y
A1248A3222211

願, 蠏 れ螻 螳朱襦
Coefficients:
             Estimate Std. Error z value Pr(>|z|)    
(Intercept)  0.665099   0.476311   1.396 0.162607    
x1A12       -0.531864   0.185402  -2.869 0.004121 ** 
x1A13       -1.076082   0.336956  -3.194 0.001405 ** 
x1A14       -1.898800   0.206314  -9.203  < 2e-16 ***
x2           0.034342   0.006329   5.426 5.76e-08 ***
x3A31       -0.099153   0.474942  -0.209 0.834629    
x3A32       -0.946961   0.370644  -2.555 0.010622 *  
x3A33       -0.934327   0.433303  -2.156 0.031061 *  
x3A34       -1.526069   0.393754  -3.876 0.000106 ***
x5          -0.012765   0.007091  -1.800 0.071821 .  

れ螻 螳 螻磯.

0.665099 -0.531864 + 48 * 0.034342 - 0.946961 -0.012765 * 22 = 0.5538676

襯..
x <- 0.665099 -0.531864 + 48 * 0.034342 - 0.946961 -0.012765 * 22
1 / (1 + exp(-x)) #蟆郁骸螳 0.6350307
exp(x) / (1 + exp(x)) #蟆郁骸螳 0.6350307, 願 襦讌ろ 覈
螻 螳 螻壱覃 .

6 蟆郁骸襯 export #

蟆郁骸襯 excel襦 export 企慨.
install.packages("xlsx")
library("xlsx")
write.xlsx(german, "c:\\data\\german_result.xlsx") 

or

企暑慨襦 覲旧
write.table(german, 'clipboard', sep='\t')

or
DB襦 ロる RODBC 谿瑚

7 odds ratio #

> exp(coef(german.object))
(Intercept)       x1A12       x1A13       x1A14          x2       x3A31       x3A32       x3A33 
  1.9446836   0.5875087   0.3409286   0.1497482   1.0349388   0.9056041   0.3879180   0.3928503 
      x3A34          x5 
  0.2173886   0.9873158 
>
伎: x1A12 y=1 odds襯 0.5875087覦 碁. 1/0.5875087覦 螳り 覦蠖 襷 .

8 覿襯(confusion matrix) #

#T1 <- length(german[german$y==1 & german$pred > 0.5,]$x1)
#T0 <- length(german[german$y==0 & german$pred > 0.5,]$x1)
#F1 <- length(german[german$y==1 & german$pred <= 0.5,]$x1)
#F0 <- length(german[german$y==0 & german$pred <= 0.5,]$x1)
#
install.packages("SDMTools")
library("SDMTools")
confusion.matrix(german$y,german$pred,threshold=0.5) 

蟆郁骸
> confusion.matrix(german$y,german$pred,threshold=0.5) 
    obs
pred   0   1
   0 629 177
   1  71 123
attr(,"class")
[1] "confusion.matrix"

False(れ) True(れ)
False(豸) 629 177
True(豸) 71 123

襯(%)
(Accuracy) (629 + 123) / (629 + 177 + 71 + 123) 75.20%
覩手 (sensitivity) 123 / (177 + 123) 41.00%
轟企 (specificity) 629 / (629 + 71) 89.86%
る (error) (177 + 71 ) / (629 + 177 + 71 + 123) 24.80%

れ螻 螳 R襦 螻壱企 .
library("SDMTools")
mat <- confusion.matrix(german$y,german$pred,threshold=0.5) 
mat
omission(mat)
sensitivity(mat)
specificity(mat)
prop.correct(mat)

蟆郁骸
> mat
    obs
pred   0   1
   0 629 177
   1  71 123
attr(,"class")
[1] "confusion.matrix"
> omission(mat)
[1] 0.59
> sensitivity(mat)
[1] 0.41
> specificity(mat)
[1] 0.8985714
> prop.correct(mat)
[1] 0.752
> 

れ螻 螳 覃 .
> accuracy(german$y,german$pred,threshold=0.5)
  threshold       AUC omission.rate sensitivity specificity prop.correct     Kappa
1       0.5 0.6542857          0.59        0.41   0.8985714        0.752 0.3432203
> 

螳 る
  • AUC(area under curve): ROC curve 覃伎, 螳 襦 譬.
  • omission.rate: the ommission rate as a proportion of true occurrences misidentified given the defined threshold value
  • sensitivity: 1 襯, 覩手
  • specificity: 0 襯, 轟企
  • prop.correct: 覈語
  • kappa statistic
    • Fleiss 蠍一..
    • 襤磯 : 0.4 覩碁
    • 襤磯 : 0.4 ~ 0.6
    • 襤磯 : 0.6 ~ 0.75
    • 襤磯 襷れ : 0.75 豐螻

谿瑚: 豕() threshold 谿剰鍵
for (i in seq(0,1,0.01))
{
  rs <- c(rs, accuracy(x2$t0,x2$pred,threshold=i)$prop.correct)
}

max_val = max(rs)
for (i in seq(0,1,0.01))
{
  tmp <- accuracy(x2$t0,x2$pred,threshold=i)$prop.correct
  if ( max_val == tmp ) 
  {
    print (paste("threshold = ", i))
  }
}

9 ROC(Receiver-Operating Characteristic curve) 螻′ #

install.packages("ROCR")
library("ROCR")
cname <- c("x1", "x2", "x3","x4", "x5", "x6", "y")
german = read.table("c:\\data\\german1.txt", col.names = cname)
options(contrasts = c("contr.treatment", "contr.poly"))
german.object <- glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german)

pred <- predict(german.object, german, type="response")
logodds <- predict(german.object, german)
german <- cbind(german, pred)
german <- cbind(german, logodds)

roc = prediction(german$pred, german$y)
perf = performance(roc, "tpr", "fpr")
#"tpr" hit rate, "fpr" 蟆暑慨(false alarm rate)
plot(perf)
#plot(perf, print.cutoff.at=seq(0,1,by=0.1))
roc.png

10 蠏 觜蟲 #

anova(lm2,lm1, test = "Chisq")

11 #

install.packages("logistf")
library("logistf")
lr2 = logistf(y ~ x1 + x2 + x3 + x5, data = german)
summary(lr2)

蟆郁骸
> summary(lr2)
logistf(formula = y ~ x1 + x2 + x3 + x5, data = german)

Model fitted by Penalized ML
Confidence intervals and p-values by Profile Likelihood 

                   coef    se(coef)  lower 0.95   upper 0.95       Chisq
(Intercept)  0.64472876 0.474759083 -0.27043182  1.581359116  1.89900357
x1A12       -0.52660853 0.185120846 -0.88988344 -0.166823398  8.25198090
x1A13       -1.04548754 0.334474867 -1.72559520 -0.417128337 11.03319913
x1A14       -1.87794257 0.205266409 -2.28709164 -1.483111213         Inf
x2           0.03387929 0.006308928  0.02165981  0.046313848 29.94733537
x3A31       -0.09194231 0.473477203 -1.01911361  0.824239056  0.03855106
x3A32       -0.92696865 0.369386547 -1.66277580 -0.221680910  6.67102543
x3A33       -0.90779881 0.431809628 -1.76384501 -0.081117723  4.64170188
x3A34       -1.49870282 0.392307541 -2.27839153 -0.748208241 15.50420478
x5          -0.01252255 0.007063063 -0.02651766  0.001115517  3.23324577
                       p
(Intercept) 1.681899e-01
x1A12       4.070755e-03
x1A13       8.949457e-04
x1A14       0.000000e+00
x2          4.439416e-08
x3A31       8.443407e-01
x3A32       9.799279e-03
x3A33       3.120404e-02
x3A34       8.232193e-05
x5          7.215754e-02

Likelihood ratio test=200.5529 on 9 df, p=0, n=1000
Wald test = 152.8214 on 9 df, p = 0

Covariance-Matrix:
              [,1]          [,2]          [,3]          [,4]          [,5]
 [1,]  0.225396187 -2.116841e-02 -0.0178520944 -1.475598e-02 -1.030299e-03
 [2,] -0.021168410  3.426973e-02  0.0158947775  1.663656e-02 -4.993463e-05
 [3,] -0.017852094  1.589478e-02  0.1118734364  1.582290e-02  1.008258e-04
 [4,] -0.014755985  1.663656e-02  0.0158228986  4.213430e-02 -6.926150e-05
 [5,] -0.001030299 -4.993463e-05  0.0001008258 -6.926150e-05  3.980257e-05
 [6,] -0.129133562  4.653294e-03  0.0017777035  2.271459e-03  1.822720e-04
 [7,] -0.134642541  3.932850e-03  0.0010335670  1.458292e-04  2.134383e-04
 [8,] -0.118628622 -2.470301e-03  0.0005935660 -5.484439e-03 -2.417103e-05
 [9,] -0.126861265  4.418244e-03  0.0018526164 -2.134237e-03  2.052452e-04
[10,] -0.001743630  7.292805e-05 -0.0000437410  1.938701e-05 -1.300694e-07
               [,6]          [,7]          [,8]          [,9]         [,10]
 [1,] -1.291336e-01 -1.346425e-01 -1.186286e-01 -0.1268612649 -1.743630e-03
 [2,]  4.653294e-03  3.932850e-03 -2.470301e-03  0.0044182436  7.292805e-05
 [3,]  1.777704e-03  1.033567e-03  5.935660e-04  0.0018526164 -4.374100e-05
 [4,]  2.271459e-03  1.458292e-04 -5.484439e-03 -0.0021342366  1.938701e-05
 [5,]  1.822720e-04  2.134383e-04 -2.417103e-05  0.0002052452 -1.300694e-07
 [6,]  2.241807e-01  1.258971e-01  1.240776e-01  0.1263132224 -8.388392e-05
 [7,]  1.258971e-01  1.364464e-01  1.240557e-01  0.1260949748  7.408724e-05
 [8,]  1.240776e-01  1.240557e-01  1.864596e-01  0.1247551153 -9.031551e-05
 [9,]  1.263132e-01  1.260950e-01  1.247551e-01  0.1539052064 -1.431441e-04
[10,] -8.388392e-05  7.408724e-05 -9.031551e-05 -0.0001431441  4.988686e-05


企郁碓 .
install.packages("survey")
library("survey")
regTermTest(german.object, ~x1 + x2 + x3 + x5)

蟆郁骸
> regTermTest(german.object, ~x1 + x2 + x3 + x5)
Wald test for x1 x2 x3 x5
 in glm(formula = y ~ x1 + x2 + x3 + x5, family = binomial, data = german)
F =  17.2046  on  9  and  990  df: p= < 2.22e-16 
p-value螳 譟磯 朱蟾 蠏覓願 讌讌 覈詩. 讀, 谿願 .

12 譬覲螳 3螳 伎 蟆曙 #

library(nnet)
mode <- multinom(Species~., data=training)
#head (fitted(out)) #蟆郁骸 襯
pred <- predict(model, newdata=test, type="class")

library (caret)
confusionMatrix(pred, test$Species)
蠍 蠍郁鍵..
企: : るジ讓曙 襦螻豺 企Ν 譯殊語. 襦螻豺
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