Validating a Logistic Model in R

In this post, we are going to continue are analysis of the logistic regression model from the the post on logistic regression  in R. We need to rerun all of the code from the last post to be ready to continue. As such the code form the last post is all below

library(MASS);library(bestglm);library(reshape2);library(corrplot);
library(ggplot2);library(ROCR)
data(survey)
survey$Clap<-NULL
survey$W.Hnd<-NULL
survey$Fold<-NULL
survey$Exer<-NULL
survey$Smoke<-NULL
survey$M.I<-NULL
survey<-na.omit(survey)
pm<-melt(survey, id.var="Sex")
ggplot(pm,aes(Sex,value))+geom_boxplot()+facet_wrap(~variable,ncol = 3)

pc<-cor(survey[,2:5])
corrplot.mixed(pc)

set.seed(123) ind<-sample(2,nrow(survey),replace=T,prob = c(0.7,0.3)) train<-survey[ind==1,] test<-survey[ind==2,] fit<-glm(Sex~.,binomial,train) exp(coef(fit))

train$probs<-predict(fit, type = 'response')
train$predict<-rep('Female',123)
train$predict[train$probs>0.5]<-"Male"
table(train$predict,train$Sex)
mean(train$predict==train$Sex)
test$prob<-predict(fit,newdata = test, type = 'response')
test$predict<-rep('Female',46)
test$predict[test$prob>0.5]<-"Male"
table(test$predict,test$Sex)
mean(test$predict==test$Sex)

Model Validation

We will now do a K-fold cross validation in order to further see how our model is doing. We cannot use the factor variable “Sex” with the K-fold code so we need to create a dummy variable. First, we create a variable called “y” that has 123 spaces, which is the same size as the “train” dataset. Second, we fill “y” with 1 in every example that is coded “male” in the “Sex” variable.

In addition, we also need to create a new dataset and remove some variables from our prior analysis otherwise we will confuse the functions that we are going to use. We will remove “predict”, “Sex”, and “probs”

train$y<-rep(0,123)
train$y[train$Sex=="Male"]=1
my.cv<-train[,-8]
my.cv$Sex<-NULL
my.cv$probs<-NULL

We now can do our K-fold analysis. The code is complicated so you can trust it and double check on your own.

bestglm(Xy=my.cv,IC="CV",CVArgs = list(Method="HTF",K=10,REP=1),family = binomial)
## Morgan-Tatar search since family is non-gaussian.
## CV(K = 10, REP = 1)
## BICq equivalent for q in (6.66133814775094e-16, 0.0328567092272112)
## Best Model:
##                Estimate Std. Error   z value     Pr(>|z|)
## (Intercept) -45.2329733 7.80146036 -5.798014 6.710501e-09
## Height        0.2615027 0.04534919  5.766425 8.097067e-09

The results confirm what we alreaedy knew that only the “Height” variable is valuable in predicting Sex. We will now create our new model using only the recommendation of the kfold validation analysis. Then we check the new model against the train dataset and with the test dataset. The code below is a repeat of prior code but based on the cross-validation

reduce.fit<-glm(Sex~Height, family=binomial,train)
train$cv.probs<-predict(reduce.fit,type='response')
train$cv.predict<-rep('Female',123)
train$cv.predict[train$cv.probs>0.5]='Male'
table(train$cv.predict,train$Sex)
##         
##          Female Male
##   Female     61   11
##   Male        7   44
mean(train$cv.predict==train$Sex)
## [1] 0.8536585
test$cv.probs<-predict(reduce.fit,test,type = 'response')
test$cv.predict<-rep('Female',46)
test$cv.predict[test$cv.probs>0.5]='Male'
table(test$cv.predict,test$Sex)
##         
##          Female Male
##   Female     16    7
##   Male        1   22
mean(test$cv.predict==test$Sex)
## [1] 0.826087

The results are consistent for both the train and test dataset. We are now going to create the ROC curve. This will provide a visual and the AUC number to further help us to assess our model. However, a model is only good when it is compared to another model. Therefore, we will create a really bad model in order to compare it to the original model, and the cross validated model. We will first make a bad model and store the probabilities in the “test” dataset. The bad model will use “age” to predict “Sex” which doesn’t make any sense at all. Below is the code followed by the ROC curve of the bad model.

bad.fit<-glm(Sex~Age,family = binomial,test)
test$bad.probs<-predict(bad.fit,type='response')
pred.bad<-prediction(test$bad.probs,test$Sex)
perf.bad<-performance(pred.bad,'tpr','fpr')
plot(perf.bad,col=1)

1

The more of a diagonal the line is the worst it is. As, we can see the bad model is really bad.

What we just did with the bad model we will now repeat for the full model and the cross-validated model.  As before, we need to store the prediction in a way that the ROCR package can use them. We will create a variable called “pred.full” to begin the process of graphing the the original full model from the last blog post. Then we will use the “prediction” function. Next, we will create the “perf.full” variable to store the performance of the model. Notice, the arguments ‘tpr’ and ‘fpr’ for true positive rate and false positive rate. Lastly, we plot the results

pred.full<-prediction(test$prob,test$Sex)
perf.full<-performance(pred.full,'tpr','fpr')
plot(perf.full, col=2)

1

We repeat this process for the cross-validated model

pred.cv<-prediction(test$cv.probs,test$Sex)
perf.cv<-performance(pred.cv,'tpr','fpr')
plot(perf.cv,col=3)

1.png

Now let’s put all the different models on one plot

plot(perf.bad,col=1)
plot(perf.full, col=2, add=T)
plot(perf.cv,col=3,add=T)
legend(.7,.4,c("BAD","FULL","CV"), 1:3)

1.png

Finally, we can calculate the AUC for each model

auc.bad<-performance(pred.bad,'auc')
auc.bad@y.values
## [[1]]
## [1] 0.4766734
auc.full<-performance(pred.full,"auc")
auc.full@y.values
## [[1]]
## [1] 0.959432
auc.cv<-performance(pred.cv,'auc')
auc.cv@y.values
## [[1]]
## [1] 0.9107505

The higher the AUC the better. As such, the full model with all variables is superior to the cross-validated or bad model. This is despite the fact that there are many high correlations in the full model as well. Another point to consider is that the cross-validated model is simpler so this may be a reason to pick it over the full model. As such, the statistics provide support for choosing a model but the do not trump the ability of the research to pick based on factors beyond just numbers.

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