Data Mining Linear and Logistic Regression

Transcription

1 07/02/207 Data Mnng Lnear and Logstc Regresson Mchael L of 26 Regresson In statstcal modellng, regresson analyss s a statstcal process for estmatng the relatonshps among varables. Regresson models are bult from data to predct the average you would expect one varable to have, gven you know the value of one or more others. Smple lnear regresson maps one varable onto the mean value of another. 2 of 26

2 Weght 07/02/207 Example: weght-heght relaton Weght aganst Heght y bx Heght a 3 of 26 Smple Lnear Regresson To fnd the best values for a and b, smple lnear regresson uses a method known as ordnary least squares (OLS) Least squares means that the sum of the squared dstance between each data pont and ts assocated predcton s mnmsed 2 That s, t mnmses n 4 of 26 2

3 07/02/207 3 Fndng a and b In the case of smple lnear regresson, a and b can be calculated as follows: n n x x y y x x b 2 ) ( ) )( ( bx y a 5 of 26 Multple Regresson Wth multple nputs, the general form of lnear regresson s The parameters n b are calculated as b x b x b x b y Y X X X b T T ) ( 6 of 26 Xb Y

4 07/02/207 Stats Packages Many statstcs packages (such as SPSS) offer multple regresson Assumes there s a lnear relatonshp between the nputs and the output Wdely used n many felds Trend lne Rsk of nvestment 7 of 26 Logstc Regresson But what f one of the varables s a class, rather than a number? For example, let s say we have data descrbng heght and gender When we want to predct heght from gender, t s easy just calculate the average heght of males and that of females, and that s t What f you want to predct gender from heght? 8 of 26 4

5 07/02/207 Logstc Regresson There s no average gender for a gven heght Better to predct the probablty of beng male (or female) gven a heght value One way to do ths s to recode the classes, for example Male =0 and Female = Then you can do a regresson 9 of 26 Lnear Class Regresson Gender Code 2.5 y = x P( c x) bx a - Problems Probablty values go outsde [0,] Volates other assumptons made by lnear regresson 0 of 26 5

6 07/02/207 There s a Better Way Leave the class labels as they are (Male, Female, n ths case) Calculate a probablty based on log odds of 26 Odds The odds of an event (beng male, for example) are 0.5/0.5 = 0.75/0.25 = 3 P( c) p( c) So odds mean tmes as probable 2 of 26 6

7 Probablty Probablty 07/02/207 Odds and Probablty Odds Lacks a desrable symmetry as the odds of male are not opposte the odds of female 3 of 26 Log Odds Note that ln(x) = -ln(/x) So we take the log odds and get a functon known as the logt P( c) ln P( c) Log Odds (Logt) 4 of 26 7

8 07/02/207 Logstc Regresson Instead of tryng to predct P(c x)=ax + b We can predct the log odds gven x P( c x) ln ax b P( c x) Solvng ths equaton (later...) gves us the logstc regresson curve we need 5 of 26 Logt to Probablty OK, but f I say The logt of x beng male s 0.8, you may not know what I mean We can get back to probabltes: P( c x) ln ax b P( c x) P( c x) axb e P( c x) ax e P( c x) e b axb e ( axb) 6 of 26 8

9 07/02/207 Fndng a and b All we need to do now s solve the set of equatons that result from pluggng our data nto P( c x) ( axb) e But there s a problem For a gven x (heght) we don t have a probablty measure, we have a or 0 7 of 26 Maxmum Lkelhood Let s say we want to guess a parameter that predcts a probablty (whch, n ths case we do, but ths s more general...) We can test a canddate value for the parameter usng Maxmum Lkelhood Lkelhood s the reverse of a condtonal probablty: L( x y) P( y x) 8 of 26 9

10 07/02/207 Maxmum Lkelhood Tossng a con Probablty dstrbuton of tossng ths con Assume that we receved 40 heads n 00 tossng, what s the probablty of head? 9 of 26 Maxmum Lkelhood P( head ) heads n 00 tossng P( head ) 0.4 L( x y) P( y x) 20 of 26 0

11 07/02/207 Lkelhood of a Model Call our data set D and magne we want to estmate a sngle parameter, a The lkelhood of the parameter, gven the data s L( a D) P( D a) The probablty of the data s P ( D a) p( d a) dd Unversty of Strlng 2067 CSCU9T6 Informaton Systems 2 of 26 Lkelhood of a Model The lkelhood of a model s a measure of how well the parameters guess at the true dstrbuton, wthout ever needng to know the true dstrbuton Note that P(c x) does not appear n the formula, and we don t need to know t P(d a) s the estmate by the model of the probablty of each data pont 22 of 26

12 07/02/207 Maxmum Lkelhood Logstc Regresson. Pck a value for a and b 2. Plug those values nto for every value of x n the data e ( x) ( axb) 3. Fnd the product of all of these values by multplyng them together 4. Record that value as the lkelhood 5. Choose better values for a and b and repeat P 23 of 26 Log Lkelhood One more problem to fx... Multplyng many small probabltes together soon suffers from arthmetc underflow the number s too small to represent or compare The soluton s to take logs and sum because ln( a) ln( b) ln( ab) 24 of 26 2

13 P(Fal) 07/02/207 An example of usng logstc regresson Can I get a mortgage wth my credt ratng? Credt score Result P(Fal score) Credt score 25 of 26 Logstc regresson Rule of Ten : A wdely-used rule of thumb states that logstc regresson models gve stable values for the explanatory varables f based on a mnmum of about 0 events. Samplng: As a rule of thumb, samplng controls at a rate of fve tmes the number of cases wll produce suffcent control data. Convergence: In some nstances the model may not reach convergence. 26 of 26 3

14 07/02/207 In Weka WEKA tutoral: 4