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

Nobuoki Eshima and Minoru Tabata

Computational Statistics & Data Analysis, 2011, vol. 55, issue 11, 3049-3058

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.

Keywords: Categorical; data; analysis; Generalized; linear; model; Predictive; power; measure; Entropy (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:55:y:2011:i:11:p:3049-3058

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