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Three predictive power measures for generalized linear models: The entropy coefficient of determination, the entropy correlation coefficient and the regression correlation coefficient

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  • Eshima, Nobuoki
  • Tabata, Minoru

Abstract

In this paper, three predictive power measures for generalized linear models (GLMs) are compared, and the utility of the entropy correlation coefficient (ECC) and the entropy coefficient of determination (ECD) is demonstrated. First, ECC, ECD and the regression correlation coefficient (RCC) are briefly explained. Second, relationships of the three measures are discussed, and the necessary and sufficient condition under which ECCÂ and RCCÂ are equal is deduced. Third, ECC and ECD are discussed for GLMs with canonical links and polytomous response variables, and an analysis of the effects of factors in GLMs is given. Finally, a discussion of the conclusions of this study is provided.

Suggested Citation

  • Eshima, Nobuoki & Tabata, Minoru, 2011. "Three predictive power measures for generalized linear models: The entropy coefficient of determination, the entropy correlation coefficient and the regression correlation coefficient," Computational Statistics & Data Analysis, Elsevier, vol. 55(11), pages 3049-3058, November.
    • Handle: RePEc:eee:csdana:v:55:y:2011:i:11:p:3049-3058
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    References listed on IDEAS

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    1. Eshima, Nobuoki, 2004. "Canonical exponential models for analysis of association between two sets of variables," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 135-144, January.
    2. Eshima, Nobuoki & Tabata, Minoru, 2007. "Entropy correlation coefficient for measuring predictive power of generalized linear models," Statistics & Probability Letters, Elsevier, vol. 77(6), pages 588-593, March.
    3. Eshima, Nobuoki & Tabata, Minoru, 2010. "Entropy coefficient of determination for generalized linear models," Computational Statistics & Data Analysis, Elsevier, vol. 54(5), pages 1381-1389, May.
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    Cited by:

    1. Cheng, C.-L. & Shalabh, & Garg, G., 2016. "Goodness of fit in restricted measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 101-116.
    2. Cheng, C.-L. & Shalabh, & Garg, G., 2014. "Coefficient of determination for multiple measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 126(C), pages 137-152.
    3. Takeshi Kurosawa & Francis K.C. Hui & A.H. Welsh & Kousuke Shinmura & Nobuoki Eshima, 2020. "On goodness‐of‐fit measures for Poisson regression models," Australian & New Zealand Journal of Statistics, Australian Statistical Publishing Association Inc., vol. 62(3), pages 340-366, September.

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    5. Cheng, C.-L. & Shalabh, & Garg, G., 2016. "Goodness of fit in restricted measurement error models," Journal of Multivariate Analysis, Elsevier, vol. 145(C), pages 101-116.
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