stackingWeights: Stacking model weights

Description Usage Arguments Details Value Note Author(s) References See Also Examples

View source: R/weights-stacking.R

Description

Computes model weights based on a cross-validation-like procedure.

Usage

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stackingWeights(object, ..., data, R, p = 0.5)

Arguments

object, ...

two or more fitted glm objects, or a list of such, or an "averaging" object.

data

a data frame containing the variables in the model, used for fitting and prediction.

R

the number of replicates.

p

the proportion of the data to be used as training set. Defaults to 0.5.

Details

Each model in a set is fitted to the training data: a subset of p * N observations in data. From these models a prediction is produced on the remaining part of data (the test or hold-out data). These hold-out predictions are fitted to the hold-out observations, by optimising the weights by which the models are combined. This process is repeated R times, yielding a distribution of weights for each model (which Smyth & Wolpert (1998) referred to as an ‘empirical Bayesian estimate of posterior model probability’). A mean or median of model weights for each model is taken and re-scaled to sum to one.

Value

stackingWeights returns a matrix with two rows, holding model weights calculated using mean and median.

Note

This approach requires a sample size of at least 2x the number of models.

Author(s)

Carsten Dormann, Kamil Bartoń

References

Wolpert, D. H. (1992) Stacked generalization. Neural Networks, 5: 241-259.

Smyth, P. & Wolpert, D. (1998) An Evaluation of Linearly Combining Density Estimators via Stacking. Technical Report No. 98-25. Information and Computer Science Department, University of California, Irvine, CA.

See Also

Weights, model.avg

Other model.weights: BGWeights, bootWeights, cos2Weights, jackknifeWeights

Examples

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# global model fitted to training data:
fm <- glm(y ~ X1 + X2 + X3 + X4, data = Cement, na.action = na.fail)
# generate a list of *some* subsets of the global model
models <- lapply(dredge(fm, evaluate = FALSE, fixed = "X1", m.lim = c(1, 3)), eval)

wts <- stackingWeights(models, data = Cement, R = 10)

ma <- model.avg(models)
Weights(ma) <- wts["mean", ]

predict(ma)

MuMIn documentation built on April 17, 2020, 1:14 a.m.