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60162 - R-square and partial R-square for generalized linear models based on the variance function


Description

The RsquareV macro provides an R-square measure for models with a well-defined variance function such as generalized linear and generalized additive models. R2 is a popular measure of fit used for ordinary regression models. The RsquareV macro provides the R_V^2 statistic proposed by Zhang (2016) for use with any model based on a distribution with a well-defined variance function. This includes the class of generalized linear models and generalized additive models based on distributions such as the binomial for logistic models, Poisson, gamma, and others. It also includes models based on quasi-likelihood functions for which only the mean and variance functions are defined. A partial R2 is provided when comparing a full model to a nested, reduced model. Partial R can be obtained from this when the difference between the full and reduced model is a single parameter. A penalized R2 is also available adjusting for the additional parameters in the full model.

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