Generalized Linear Model
Details
Let y be a vector of response variable of accessing credit for each applicant n, such that yi=1 if the applicant-i has access to credit, and zero otherwise. Furthermore, let let \boldx=xij, where i=1,…,n and j=1,…,p characteristics of the applicants. The log-odds can be define as:
log(πi1−πi)=β0+\boldx\boldiβ=β0+p∑i=1βi\boldxi
β0 is the intercept, β=(β1,…,βp) is a p x 1 vector of coefficients and \boldxi is the ith row of x.
Examples
yvar <- c("multi.level")
sample_data <- sample_data[c(1:750),]
xvar <- c("sex", "married", "age", "havejob", "educ", "political.afl",
"rural", "region", "fin.intermdiaries", "fin.knowldge", "income")
BchMk.GLM <- GLM_Model(sample_data, c(xvar, "networth"), yvar )
#> + Fold01: parameter=none
#> - Fold01: parameter=none
#> + Fold02: parameter=none
#> - Fold02: parameter=none
#> + Fold03: parameter=none
#> - Fold03: parameter=none
#> + Fold04: parameter=none
#> - Fold04: parameter=none
#> + Fold05: parameter=none
#> - Fold05: parameter=none
#> + Fold06: parameter=none
#> - Fold06: parameter=none
#> + Fold07: parameter=none
#> - Fold07: parameter=none
#> + Fold08: parameter=none
#> - Fold08: parameter=none
#> + Fold09: parameter=none
#> - Fold09: parameter=none
#> + Fold10: parameter=none
#> - Fold10: parameter=none
#> Aggregating results
#> Fitting final model on full training set
#> Warning: glm.fit: algorithm did not converge
BchMk.GLM$finalModel
#>
#> Call: glm(formula = Data.sub.train[, yvar] ~ ., family = binomial(link = "logit"),
#> data = Data.sub.train)
#>
#> Coefficients:
#> (Intercept) sex married age
#> -1.20704 -0.06493 -0.06183 -0.75239
#> havejob educ political.afl rural
#> 0.13974 0.09900 -0.05111 -0.17108
#> region fin.intermdiaries fin.knowldge income
#> 0.01923 0.01041 0.08658 0.69631
#> networth
#> 0.19579
#>
#> Degrees of Freedom: 600 Total (i.e. Null); 588 Residual
#> Null Deviance: 690.4
#> Residual Deviance: 591.3 AIC: 617.3
BchMk.GLM$Roc$auc
#> Multi-class area under the curve: 0.7555