GAM 中首选哪个指数,“R-sq”或“Deviance Explained”?

机器算法验证 回归 广义加法模型
2022-04-05 15:22:46

mgcv在 R 中使用包来构建广义加法模型。在查看(例如,summary())的结果时,显示了两个索引,它们并不相同,但差别不大:

R-sq.(adj) =  ...   Deviance explained = ...%

?summary.gam中,这两个术语的定义是:

r.sq    
The adjusted r-squared for the model. Defined as the proportion of variance explained, where original variance and residual variance are both estimated using unbiased estimators. ... The proportion null deviance explained is probably more appropriate for non-normal errors. Note that r.sq does not include any offset in the one parameter model.

dev.expl    
The proportion of the null deviance explained by the model. The null deviance is computed taking account of any offset, so dev.expl can be substantially lower than r.sq when an offset is present.

似乎r.sq是关于“方差”,而dev.expl关于“偏差”。但是,我仍然不知道哪个更好,r.sq或者dev.expl

1个回答

在 mgcv (1.8-37) 的最新版本中。Wood 详细阐述了 r.sq 的定义,他说“解释的比例零偏差可能更适合非正态错误。” 因此,偏差解释应该是拟合优度的更广义的度量,尤其是对于非高斯模型。

可以在我如何解释 GAM 结果?