Posted on Categories data science, Exciting Techniques, Practical Data Science, Pragmatic Data Science, Pragmatic Machine Learning, Statistics, TutorialsTags , Leave a comment on vtreat Variable Importance

vtreat Variable Importance

vtreat‘s purpose is to produce pure numeric R data.frames that are ready for supervised predictive modeling (predicting a value from other values). By ready we mean: a purely numeric data frame with no missing values and a reasonable number of columns (missing-values re-encoded with indicators, and high-degree categorical re-encode by effects codes or impact codes).

In this note we will discuss a small aspect of the vtreat package: variable screening.

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Quoting Concatenate

In our last note we used wrapr::qe() to help quote expressions. In this note we will discuss quoting and code-capturing interfaces (interfaces that capture user source code) a bit more.

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Reusable Pipelines in R

Pipelines in R are popular, the most popular one being magrittr as used by dplyr.

This note will discuss the advanced re-usable piping systems: rquery/rqdatatable operator trees and wrapr function object pipelines. In each case we have a set of objects designed to extract extra power from the wrapr dot-arrow pipe %.>%.

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Sharing Modeling Pipelines in R

Reusable modeling pipelines are a practical idea that gets re-developed many times in many contexts. wrapr supplies a particularly powerful pipeline notation, and a pipe-stage re-use system (notes here). We will demonstrate this with the vtreat data preparation system.

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Timing Grouped Mean Calculation in R

This note is a comment on some of the timings shared in the dplyr-0.8.0 pre-release announcement.

The original published timings were as follows:

With performance metrics: measurements are marketing. So let’s dig in the above a bit.

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Very Non-Standard Calling in R

Our group has done a lot of work with non-standard calling conventions in R.

Our tools work hard to eliminate non-standard calling (as is the purpose of wrapr::let()), or at least make it cleaner and more controllable (as is done in the wrapr dot pipe). And even so, we still get surprised by some of the side-effects and mal-consequences of the over-use of non-standard calling conventions in R.

Please read on for a recent example.

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Quoting in R

Many R users appear to be big fans of "code capturing" or "non standard evaluation" (NSE) interfaces. In this note we will discuss quoting and non-quoting interfaces in R.

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More on Bias Corrected Standard Deviation Estimates

This note is just a quick follow-up to our last note on correcting the bias in estimated standard deviations for binomial experiments.

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How to de-Bias Standard Deviation Estimates

This note is about attempting to remove the bias brought in by using sample standard deviation estimates to estimate an unknown true standard deviation of a population. We establish there is a bias, concentrate on why it is not important to remove it for reasonable sized samples, and (despite that) give a very complete bias management solution.

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Posted on Categories data science, Programming, StatisticsTags , , Leave a comment on More on sigr

More on sigr

If you’ve read our previous R Tip on using sigr with linear models, you might have noticed that the lm() summary object does in fact carry the R-squared and F statistics, both in the printed form:

model_lm <- lm(formula = Petal.Length ~ Sepal.Length, data = iris)
(smod_lm <- summary(model_lm))
## 
## Call:
## lm(formula = Petal.Length ~ Sepal.Length, data = iris)
## 
## Residuals:
##      Min       1Q   Median       3Q      Max 
## -2.47747 -0.59072 -0.00668  0.60484  2.49512 
## 
## Coefficients:
##              Estimate Std. Error t value Pr(>|t|)    
## (Intercept)  -7.10144    0.50666  -14.02   <2e-16 ***
## Sepal.Length  1.85843    0.08586   21.65   <2e-16 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## Residual standard error: 0.8678 on 148 degrees of freedom
## Multiple R-squared:   0.76,  Adjusted R-squared:  0.7583 
## F-statistic: 468.6 on 1 and 148 DF,  p-value: < 2.2e-16

and also in the summary() object:

c(R2 = smod_lm$r.squared, F = smod_lm$fstatistic[1])

##          R2     F.value 
##   0.7599546 468.5501535

Note, though, that while the summary reports the model’s significance, it does not carry it as a specific summary() object item. sigr::wrapFTest() is a convenient way to extract the model’s R-squared and F statistic and simultaneously calculate the model significance, as is required by many scientific publications.

sigr is even more helpful for logistic regression, via glm(), which reports neither the model’s chi-squared statistic nor its significance.

iris$isVersicolor <- iris$Species == "versicolor"

model_glm <- glm(
  isVersicolor ~ Sepal.Length + Sepal.Width,
  data = iris,
  family = binomial)

(smod_glm <- summary(model_glm))

## 
## Call:
## glm(formula = isVersicolor ~ Sepal.Length + Sepal.Width, family = binomial, 
##     data = iris)
## 
## Deviance Residuals: 
##     Min       1Q   Median       3Q      Max  
## -1.9769  -0.8176  -0.4298   0.8855   2.0855  
## 
## Coefficients:
##              Estimate Std. Error z value Pr(>|z|)    
## (Intercept)    8.0928     2.3893   3.387 0.000707 ***
## Sepal.Length   0.1294     0.2470   0.524 0.600247    
## Sepal.Width   -3.2128     0.6385  -5.032 4.85e-07 ***
## ---
## Signif. codes:  0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
## 
## (Dispersion parameter for binomial family taken to be 1)
## 
##     Null deviance: 190.95  on 149  degrees of freedom
## Residual deviance: 151.65  on 147  degrees of freedom
## AIC: 157.65
## 
## Number of Fisher Scoring iterations: 5

To get the significance of a logistic regression model, call wrapr::wrapChiSqTest():

library(sigr)
(chi2Test <- wrapChiSqTest(model_glm))

## [1] “Chi-Square Test summary: pseudo-R2=0.21 (X2(2,N=150)=39, p<1e-05).”

Notice that the fit summary also reports a pseudo-R-squared. You can extract the values directly off the sigr object, as well:

str(chi2Test)

## List of 10
##  $ test          : chr "Chi-Square test"
##  $ df.null       : int 149
##  $ df.residual   : int 147
##  $ null.deviance : num 191
##  $ deviance      : num 152
##  $ pseudoR2      : num 0.206
##  $ pValue        : num 2.92e-09
##  $ sig           : num 2.92e-09
##  $ delta_deviance: num 39.3
##  $ delta_df      : int 2
##  - attr(*, "class")= chr [1:2] "sigr_chisqtest" "sigr_statistic"

And of course you can render the sigr object into one of several formats (Latex, html, markdown, and ascii) for direct inclusion in a report or publication.

render(chi2Test, format = "html")

Chi-Square Test summary: pseudo-R2=0.21 (χ2(2,N=150)=39, p<1e-05).

By the way, if you are interested, we give the explicit formula for calculating the significance of a logistic regression model in Practical Data Science with R.