/* What results should be presented */
unsigned int print;
- double cut_point;
+ /* Inverse logit of the cut point */
+ double ilogit_cut_point;
};
categorical predictors */
struct categoricals *cats;
struct payload cp;
+
+
+ /* The estimates of the predictor coefficients */
+ gsl_vector *beta_hat;
+
+ /* The predicted classifications:
+ True Negative, True Positive, False Negative, False Positive */
+ double tn, tp, fn, fp;
};
return SYSMIS;
}
+static void output_classification_table (const struct lr_spec *cmd, const struct lr_result *res);
static void output_categories (const struct lr_spec *cmd, const struct lr_result *res);
static void output_depvarmap (const struct lr_spec *cmd, const struct lr_result *);
static void output_variables (const struct lr_spec *cmd,
- const struct lr_result *,
- const gsl_vector *);
+ const struct lr_result *);
static void output_model_summary (const struct lr_result *,
double initial_likelihood, double likelihood);
/*
- Return the probability estimator (that is the estimator of logit(y) )
- corresponding to the coefficient estimator beta_hat for case C
+ Return the probability beta_hat (that is the estimator logit(y) )
+ corresponding to the coefficient estimator for case C
*/
static double
pi_hat (const struct lr_spec *cmd,
- struct lr_result *res,
- const gsl_vector *beta_hat,
+ const struct lr_result *res,
const struct variable **x, size_t n_x,
const struct ccase *c)
{
int v0;
double pi = 0;
- size_t n_coeffs = beta_hat->size;
+ size_t n_coeffs = res->beta_hat->size;
if (cmd->constant)
{
- pi += gsl_vector_get (beta_hat, beta_hat->size - 1);
+ pi += gsl_vector_get (res->beta_hat, res->beta_hat->size - 1);
n_coeffs--;
}
for (v0 = 0; v0 < n_coeffs; ++v0)
{
- pi += gsl_vector_get (beta_hat, v0) *
+ pi += gsl_vector_get (res->beta_hat, v0) *
predictor_value (c, x, n_x, res->cats, v0);
}
struct lr_result *res,
struct casereader *input,
const struct variable **x, size_t n_x,
- const gsl_vector *beta_hat,
bool *converged)
{
struct casereader *reader;
(c = casereader_read (reader)) != NULL; case_unref (c))
{
int v0, v1;
- double pi = pi_hat (cmd, res, beta_hat, x, n_x, c);
+ double pi = pi_hat (cmd, res, x, n_x, c);
double weight = dict_get_case_weight (cmd->dict, c, &res->warn_bad_weight);
double w = pi * (1 - pi);
max_w = w;
w *= weight;
- for (v0 = 0; v0 < beta_hat->size; ++v0)
+ for (v0 = 0; v0 < res->beta_hat->size; ++v0)
{
double in0 = predictor_value (c, x, n_x, res->cats, v0);
- for (v1 = 0; v1 < beta_hat->size; ++v1)
+ for (v1 = 0; v1 < res->beta_hat->size; ++v1)
{
double in1 = predictor_value (c, x, n_x, res->cats, v1);
double *o = gsl_matrix_ptr (res->hessian, v0, v1);
y is the vector of observed independent variables
pi is the vector of estimates for y
- As a side effect, the likelihood is stored in LIKELIHOOD
+ Side effects:
+ the likelihood is stored in LIKELIHOOD;
+ the predicted values are placed in the respective tn, fn, tp fp values in RES
*/
static gsl_vector *
xt_times_y_pi (const struct lr_spec *cmd,
struct casereader *input,
const struct variable **x, size_t n_x,
const struct variable *y_var,
- const gsl_vector *beta_hat,
- double *likelihood)
+ double *llikelihood)
{
struct casereader *reader;
struct ccase *c;
- gsl_vector *output = gsl_vector_calloc (beta_hat->size);
+ gsl_vector *output = gsl_vector_calloc (res->beta_hat->size);
- *likelihood = 1.0;
+ *llikelihood = 0.0;
+ res->tn = res->tp = res->fn = res->fp = 0;
for (reader = casereader_clone (input);
(c = casereader_read (reader)) != NULL; case_unref (c))
{
+ double pred_y = 0;
int v0;
- double pi = pi_hat (cmd, res, beta_hat, x, n_x, c);
+ double pi = pi_hat (cmd, res, x, n_x, c);
double weight = dict_get_case_weight (cmd->dict, c, &res->warn_bad_weight);
double y = map_dependent_var (cmd, res, case_data (c, y_var));
- *likelihood *= pow (pi, weight * y) * pow (1 - pi, weight * (1 - y));
+ *llikelihood += (weight * y) * log (pi) + log (1 - pi) * weight * (1 - y);
- for (v0 = 0; v0 < beta_hat->size; ++v0)
+ for (v0 = 0; v0 < res->beta_hat->size; ++v0)
{
double in0 = predictor_value (c, x, n_x, res->cats, v0);
double *o = gsl_vector_ptr (output, v0);
*o += in0 * (y - pi) * weight;
+ pred_y += gsl_vector_get (res->beta_hat, v0) * in0;
+ }
+
+ /* Count the number of cases which would be correctly/incorrectly classified by this
+ estimated model */
+ if (pred_y <= cmd->ilogit_cut_point)
+ {
+ if (y == 0)
+ res->tn += weight;
+ else
+ res->fn += weight;
+ }
+ else
+ {
+ if (y == 0)
+ res->fp += weight;
+ else
+ res->tp += weight;
}
}
* Creates and initialises the categoricals,
* Accumulates summary results,
* Calculates necessary initial values.
+ * Creates an initial value for \hat\beta the vector of beta_hats of \beta
- Returns an initial value for \hat\beta the vector of estimators of \beta
+ Returns true if successful
*/
-static gsl_vector *
-beta_hat_initial (const struct lr_spec *cmd, struct lr_result *res, struct casereader *input)
+static bool
+initial_pass (const struct lr_spec *cmd, struct lr_result *res, struct casereader *input)
{
const int width = var_get_width (cmd->dep_var);
struct ccase *c;
struct casereader *reader;
- gsl_vector *b0 ;
+
double sum;
double sumA = 0.0;
double sumB = 0.0;
double weight = dict_get_case_weight (cmd->dict, c, &res->warn_bad_weight);
const union value *depval = case_data (c, cmd->dep_var);
+ if (var_is_value_missing (cmd->dep_var, depval, cmd->exclude))
+ {
+ missing = true;
+ }
+ else
for (v = 0; v < cmd->n_indep_vars; ++v)
{
const union value *val = case_data (c, cmd->indep_vars[v]);
)
{
msg (ME, _("Dependent variable's values are not dichotomous."));
+ case_unref (c);
goto error;
}
}
}
n_coefficients += categoricals_df_total (res->cats);
- b0 = gsl_vector_calloc (n_coefficients);
+ res->beta_hat = gsl_vector_calloc (n_coefficients);
- if ( cmd->constant)
+ if (cmd->constant)
{
double mean = sum / res->cc;
- gsl_vector_set (b0, b0->size - 1, log (mean / (1 - mean)));
+ gsl_vector_set (res->beta_hat, res->beta_hat->size - 1, log (mean / (1 - mean)));
}
- return b0;
+ return true;
error:
casereader_destroy (reader);
- return NULL;
+ return false;
}
{
int i;
- gsl_vector *beta_hat;
-
bool converged = false;
- /* Set the likelihoods to a negative sentinel value */
- double likelihood = -1;
- double prev_likelihood = -1;
- double initial_likelihood = -1;
+ /* Set the log likelihoods to a sentinel value */
+ double log_likelihood = SYSMIS;
+ double prev_log_likelihood = SYSMIS;
+ double initial_log_likelihood = SYSMIS;
struct lr_result work;
work.n_missing = 0;
work.n_nonmissing = 0;
work.warn_bad_weight = true;
work.cats = NULL;
+ work.beta_hat = NULL;
+ work.hessian = NULL;
-
- /* Get the initial estimates of \beta and their standard errors */
- beta_hat = beta_hat_initial (cmd, &work, input);
- if (NULL == beta_hat)
- return false;
-
+ /* Get the initial estimates of \beta and their standard errors.
+ And perform other auxilliary initialisation. */
+ if (! initial_pass (cmd, &work, input))
+ goto error;
for (i = 0; i < cmd->n_cat_predictors; ++i)
{
msg (ME, _("Category %s does not have at least two distinct values. Logistic regression will not be run."),
ds_cstr(&str));
ds_destroy (&str);
- return false;
+ goto error;
}
}
NULL,
NULL);
+ input = casereader_create_filter_missing (input,
+ &cmd->dep_var,
+ 1,
+ cmd->exclude,
+ NULL,
+ NULL);
- work.hessian = gsl_matrix_calloc (beta_hat->size, beta_hat->size);
+ work.hessian = gsl_matrix_calloc (work.beta_hat->size, work.beta_hat->size);
/* Start the Newton Raphson iteration process... */
for( i = 0 ; i < cmd->max_iter ; ++i)
hessian (cmd, &work, input,
- cmd->predictor_vars, cmd->n_predictor_vars,
- beta_hat,
- &converged);
+ cmd->predictor_vars, cmd->n_predictor_vars,
+ &converged);
gsl_linalg_cholesky_decomp (work.hessian);
gsl_linalg_cholesky_invert (work.hessian);
v = xt_times_y_pi (cmd, &work, input,
cmd->predictor_vars, cmd->n_predictor_vars,
cmd->dep_var,
- beta_hat,
- &likelihood);
+ &log_likelihood);
{
/* delta = M.v */
gsl_vector_free (v);
- gsl_vector_add (beta_hat, delta);
+ gsl_vector_add (work.beta_hat, delta);
gsl_vector_minmax (delta, &min, &max);
gsl_vector_free (delta);
}
- if ( prev_likelihood >= 0)
+ if (i > 0)
{
- if (-log (likelihood) > -(1.0 - cmd->lcon) * log (prev_likelihood))
+ if (-log_likelihood > -(1.0 - cmd->lcon) * prev_log_likelihood)
{
msg (MN, _("Estimation terminated at iteration number %d because Log Likelihood decreased by less than %g%%"), i + 1, 100 * cmd->lcon);
converged = true;
}
}
if (i == 0)
- initial_likelihood = likelihood;
- prev_likelihood = likelihood;
+ initial_log_likelihood = log_likelihood;
+ prev_log_likelihood = log_likelihood;
if (converged)
break;
}
- casereader_destroy (input);
- assert (initial_likelihood >= 0);
+
+
if ( ! converged)
msg (MW, _("Estimation terminated at iteration number %d because maximum iterations has been reached"), i );
- output_model_summary (&work, initial_likelihood, likelihood);
+ output_model_summary (&work, initial_log_likelihood, log_likelihood);
if (work.cats)
output_categories (cmd, &work);
- output_variables (cmd, &work, beta_hat);
+ output_classification_table (cmd, &work);
+ output_variables (cmd, &work);
+ casereader_destroy (input);
gsl_matrix_free (work.hessian);
- gsl_vector_free (beta_hat);
-
+ gsl_vector_free (work.beta_hat);
categoricals_destroy (work.cats);
return true;
+
+ error:
+ casereader_destroy (input);
+ gsl_matrix_free (work.hessian);
+ gsl_vector_free (work.beta_hat);
+ categoricals_destroy (work.cats);
+
+ return false;
}
struct variable_node
int
cmd_logistic (struct lexer *lexer, struct dataset *ds)
{
+ int i;
/* Temporary location for the predictor variables.
These may or may not include the categorical predictors */
const struct variable **pred_vars;
size_t n_pred_vars;
+ double cp = 0.5;
int v, x;
struct lr_spec lr;
lr.lcon = 0.0000;
lr.bcon = 0.001;
lr.min_epsilon = 0.00000001;
- lr.cut_point = 0.5;
lr.constant = true;
lr.confidence = 95;
lr.print = PRINT_DEFAULT;
}
}
}
+ else if (lex_match_id (lexer, "CUT"))
+ {
+ if (lex_force_match (lexer, T_LPAREN))
+ {
+ if (! lex_force_num (lexer))
+ {
+ lex_error (lexer, NULL);
+ goto error;
+ }
+ cp = lex_number (lexer);
+
+ if (cp < 0 || cp > 1.0)
+ {
+ msg (ME, _("Cut point value must be in the range [0,1]"));
+ goto error;
+ }
+ lex_get (lexer);
+ if ( ! lex_force_match (lexer, T_RPAREN))
+ {
+ lex_error (lexer, NULL);
+ goto error;
+ }
+ }
+ }
else
{
lex_error (lexer, NULL);
}
}
+ lr.ilogit_cut_point = - log (1/cp - 1);
+
+
/* Copy the predictor variables from the temporary location into the
final one, dropping any categorical variables which appear there.
FIXME: This is O(NxM).
*/
-
{
struct variable_node *vn, *next;
struct hmap allvars;
ok = proc_commit (ds) && ok;
}
+ for (i = 0 ; i < lr.n_cat_predictors; ++i)
+ {
+ interaction_destroy (lr.cat_predictors[i]);
+ }
free (lr.predictor_vars);
free (lr.cat_predictors);
free (lr.indep_vars);
error:
+ for (i = 0 ; i < lr.n_cat_predictors; ++i)
+ {
+ interaction_destroy (lr.cat_predictors[i]);
+ }
free (lr.predictor_vars);
free (lr.cat_predictors);
free (lr.indep_vars);
/* Show the Variables in the Equation box */
static void
output_variables (const struct lr_spec *cmd,
- const struct lr_result *res,
- const gsl_vector *beta)
+ const struct lr_result *res)
{
int row = 0;
const int heading_columns = 1;
{
const int idx = row - heading_rows - idx_correction;
- const double b = gsl_vector_get (beta, idx);
+ const double b = gsl_vector_get (res->beta_hat, idx);
const double sigma2 = gsl_matrix_get (res->hessian, idx, idx);
const double wald = pow2 (b) / sigma2;
const double df = 1;
gsl_matrix_const_view mv =
gsl_matrix_const_submatrix (res->hessian, idx, idx, df, df);
gsl_matrix *subhessian = gsl_matrix_alloc (mv.matrix.size1, mv.matrix.size2);
- gsl_vector_const_view vv = gsl_vector_const_subvector (beta, idx, df);
+ gsl_vector_const_view vv = gsl_vector_const_subvector (res->beta_hat, idx, df);
gsl_vector *temp = gsl_vector_alloc (df);
gsl_matrix_memcpy (subhessian, &mv.matrix);
if (cmd->print & PRINT_CI)
{
+ int last_ci = nr;
double wc = gsl_cdf_ugaussian_Pinv (0.5 + cmd->confidence / 200.0);
wc *= sqrt (sigma2);
- if (idx < cmd->n_predictor_vars)
+ if (cmd->constant)
+ last_ci--;
+
+ if (row < last_ci)
{
tab_double (t, 8, row, 0, exp (b - wc), 0);
tab_double (t, 9, row, 0, exp (b + wc), 0);
/* Show the model summary box */
static void
output_model_summary (const struct lr_result *res,
- double initial_likelihood, double likelihood)
+ double initial_log_likelihood, double log_likelihood)
{
const int heading_columns = 0;
const int heading_rows = 1;
tab_text (t, 0, 0, TAB_LEFT | TAT_TITLE, _("Step 1"));
tab_text (t, 1, 0, TAB_CENTER | TAT_TITLE, _("-2 Log likelihood"));
- tab_double (t, 1, 1, 0, -2 * log (likelihood), 0);
+ tab_double (t, 1, 1, 0, -2 * log_likelihood, 0);
tab_text (t, 2, 0, TAB_CENTER | TAT_TITLE, _("Cox & Snell R Square"));
- cox = 1.0 - pow (initial_likelihood /likelihood, 2 / res->cc);
+ cox = 1.0 - exp((initial_log_likelihood - log_likelihood) * (2 / res->cc));
tab_double (t, 2, 1, 0, cox, 0);
tab_text (t, 3, 0, TAB_CENTER | TAT_TITLE, _("Nagelkerke R Square"));
- tab_double (t, 3, 1, 0, cox / ( 1.0 - pow (initial_likelihood, 2 / res->cc)), 0);
+ tab_double (t, 3, 1, 0, cox / ( 1.0 - exp(initial_log_likelihood * (2 / res->cc))), 0);
tab_submit (t);
tab_submit (t);
}
+
+
+static void
+output_classification_table (const struct lr_spec *cmd, const struct lr_result *res)
+{
+ const struct fmt_spec *wfmt =
+ cmd->wv ? var_get_print_format (cmd->wv) : &F_8_0;
+
+ const int heading_columns = 3;
+ const int heading_rows = 3;
+
+ struct string sv0, sv1;
+
+ const int nc = heading_columns + 3;
+ const int nr = heading_rows + 3;
+
+ struct tab_table *t = tab_create (nc, nr);
+
+ ds_init_empty (&sv0);
+ ds_init_empty (&sv1);
+
+ tab_title (t, _("Classification Table"));
+
+ tab_headers (t, heading_columns, 0, heading_rows, 0);
+
+ tab_box (t, TAL_2, TAL_2, -1, -1, 0, 0, nc - 1, nr - 1);
+ tab_box (t, -1, -1, -1, TAL_1, heading_columns, 0, nc - 1, nr - 1);
+
+ tab_hline (t, TAL_2, 0, nc - 1, heading_rows);
+ tab_vline (t, TAL_2, heading_columns, 0, nr - 1);
+
+ tab_text (t, 0, heading_rows, TAB_CENTER | TAT_TITLE, _("Step 1"));
+
+
+ tab_joint_text (t, heading_columns, 0, nc - 1, 0,
+ TAB_CENTER | TAT_TITLE, _("Predicted"));
+
+ tab_joint_text (t, heading_columns, 1, heading_columns + 1, 1,
+ 0, var_to_string (cmd->dep_var) );
+
+ tab_joint_text (t, 1, 2, 2, 2,
+ TAB_LEFT | TAT_TITLE, _("Observed"));
+
+ tab_text (t, 1, 3, TAB_LEFT, var_to_string (cmd->dep_var) );
+
+
+ tab_joint_text (t, nc - 1, 1, nc - 1, 2,
+ TAB_CENTER | TAT_TITLE, _("Percentage\nCorrect"));
+
+
+ tab_joint_text (t, 1, nr - 1, 2, nr - 1,
+ TAB_LEFT | TAT_TITLE, _("Overall Percentage"));
+
+
+ tab_hline (t, TAL_1, 1, nc - 1, nr - 1);
+
+ var_append_value_name (cmd->dep_var, &res->y0, &sv0);
+ var_append_value_name (cmd->dep_var, &res->y1, &sv1);
+
+ tab_text (t, 2, heading_rows, TAB_LEFT, ds_cstr (&sv0));
+ tab_text (t, 2, heading_rows + 1, TAB_LEFT, ds_cstr (&sv1));
+
+ tab_text (t, heading_columns, 2, 0, ds_cstr (&sv0));
+ tab_text (t, heading_columns + 1, 2, 0, ds_cstr (&sv1));
+
+ ds_destroy (&sv0);
+ ds_destroy (&sv1);
+
+ tab_double (t, heading_columns, 3, 0, res->tn, wfmt);
+ tab_double (t, heading_columns + 1, 4, 0, res->tp, wfmt);
+
+ tab_double (t, heading_columns + 1, 3, 0, res->fp, wfmt);
+ tab_double (t, heading_columns, 4, 0, res->fn, wfmt);
+
+ tab_double (t, heading_columns + 2, 3, 0, 100 * res->tn / (res->tn + res->fp), 0);
+ tab_double (t, heading_columns + 2, 4, 0, 100 * res->tp / (res->tp + res->fn), 0);
+
+ tab_double (t, heading_columns + 2, 5, 0,
+ 100 * (res->tp + res->tn) / (res->tp + res->tn + res->fp + res->fn), 0);
+
+
+ tab_submit (t);
+}