scientific article; zbMATH DE number 1959649

MaRDI QIDQ4416902zbMATH OpenFDO

Authors Martina Mittlböck, Harald Heinzl

Publication date 5 August 2003

zbMATH Keywords

Adjusted \(R^2\) measuresDegrees of freedomDevianceExplained variationPredictive powerShrinkageSum-of-squares

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Review text

The common \(R^2\) measure provides a useful means to quantify the degree to which variation in the dependent variable can be explained by the covariates in a linear regression model. Recently, there have been various attempts to apply the definition of the \(R^2\) measure to generalized linear models. This paper studies two different \(R^2\) measure definitions for the gamma regression model. These measures are related to deviance and sum-of-squares residuals. Depending on the sample size and the number of covariates fitted, so-called unadjusted \(R^2\) measures may be substantially inflated, and the use of adjusted \(R^2\) measures is then preferred. We study several known adjustments previously proposed for \(R^2\) measures in regression models and illustrate the effect on the two unadjusted \(R^2\) measures for the gamma regression model. Comparing the resulting measures with underlying population values, we find the best adjustment via simulation.

Recommendations

• Generalized variance estimators in the multivariate gamma models
• A derivation of prediction intervals for gamma regression
• Structural equation modeling of multivariate gamma density
• On gamma regression residuals
• A gamma regression for bounded continuous variables
• Improved deviance goodness of fit statistics for a gamma regression model
• Inference procedures for the variance gamma model and applications
• Reparameterized inverse gamma regression models with varying precision

Cited in

(11)

• Adjusted \(R^2\)-type measures for Tweedie models
• Adjusted \(R^2\) measures for the inverse Gaussian regression model
• Adjustments for \(R^{2}\)-measures for Poisson regression models.
• Adaptive estimation strategies in gamma regression model
• Specification tests for the response distribution in generalized linear models
• An \(R\)-squared measure of goodness of fit for exponential dispersion models
• Influence diagnostics in gamma ridge regression model
• Explained variation for logistic regression -- small sample adjustments, confidence intervals and predictive precision
• Measures of variation explained by binary regression
• Pseudo R-squared measures for Poisson regression models with over- or underdispersion
• Adjusted R-squared type measure for exponential dispersion models

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