Entropy correlation coefficient for measuring predictive power of generalized linear models

Nobuoki Eshima and Minoru Tabata

Statistics & Probability Letters, 2007, vol. 77, issue 6, 588-593

Abstract: By considering properties of generalized linear models (GLMs), a correlation coefficient, which is referred to as the entropy multiple correlation coefficient, is proposed as a predictive power measure of GLMs. This correlation coefficient is a measure of linearity of response variables and the canonical parameters, and can be viewed as the proportion of reduced uncertainty of response variables by explanatory variables.

Keywords: Entropy; Entropy; multiple; correlation; coefficient; Generalized; linear; model; Kullback-Leibler; information (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (5)

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