R Binomial Regression

Been doing some propensity modelling recently using R glm package, but upon recommendation from a professional in my network, I wanted to try k-fold cross validation to asses the accuracy of my model.

So doing some research I found a great article on fitting models on this site (which I have linked to before):

http://www.statmethods.net/stats/regression.html

This is a really great site – such good clear examples of R code, with comments, so you can understand what is going on.  The models in this example is a linear model, while I am using a glm, so instead of using cv.lm, I can use cv.glm to run the cross validation.


# BINOMIAL REGRESSION WITH 10 FOLD Cross Validation
library(DAAG)
#Grab Data
e_data = read.csv("G:/Binomial Regression/set.csv", sep=',', header= TRUE, stringsAsFactors = FALSE)
attach(e_data)

#Build Model
model <- glm(Y ~ X1 + X2 + X3, family=binomial(link = "logit"))

cv.err <- cv.glm(lease_data, model, K=10) # 10 fold cross-validation

#return delta
cv.err$delta

The deltas should be compared across different models, and indeed against an MSE you may have calculated using a more tradition test/validation set.

NB: here as a good article on cross validation by Rob Hyndman : http://robjhyndman.com/researchtips/crossvalidation/

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