R/score_dw.R

In auditor: Model Audit - Verification, Validation, and Error Analysis

#' @title Durbin-Watson Score
#'
#' @description Score based on Durbin-Watson test statistic.
#' The score value is helpful in comparing models. It is worth pointing out that results of tests like p-value makes sense only
#' when the test assumptions are satisfied. Otherwise test statistic may be considered as a score.
#'
#' @param object An object of class \code{explainer} created with function
#'  \code{\link[DALEX]{explain}} from the DALEX package.
#' @param variable Name of model variable to order residuals.
#' @param data New data that will be used to calculate the score.
#'  Pass \code{NULL} if you want to use \code{data} from \code{object}.
#' @param y New y parameter will be used to calculate score.
#' @param ... Other arguments dependent on the type of score.
#'
#' @return An object of class \code{auditor_score}.
#'
#' @examples
#' dragons <- DALEX::dragons[1:100, ]
#'
#' # fit a model
#' model_lm <- lm(life_length ~ ., data = dragons)
#'
#' lm_audit <- audit(model_lm, data = dragons, y = dragons$life_length)
#'
#' # calculate score
#' score_dw(lm_audit)
#'
#' @rdname score_dw
#' @export
score_dw <- function(object, variable = NULL, data = NULL, y = NULL, ...) {
  if(!("explainer" %in% class(object))) stop("The function requires an object created with explain() function from the DALEX package.")

  # inject new data to the explainer
  if (!is.null(data)){
    object$data <- data
    object$y <- y
    object$y_hat <- object$predict_function(object$model, data)
  }

  object <- model_residual(object)
  if(!is.null(variable)) object <- object[order(object[ ,variable]), ]
  residuals <- object$`_residuals_`

  max_lag <- 1
  n <-  length(residuals)
  durbin_watson <- rep(0, max_lag)
  den <- sum(residuals^2)
  for (lag in 1:max_lag){
    durbin_watson[lag] <- (sum((residuals[(lag+1):n] - residuals[1:(n-lag)])^2))/den
  }

  durbin_watson

  result <- list(
    name = "Durbin-Watson",
    score = durbin_watson
  )
  class(result) <- "auditor_score"
  return(result)
}


#' @rdname score_dw
#' @export
scoreDW <- function(object, variable = NULL) {
  warning("Please note that 'scoreDW()' is now deprecated, it is better to use 'score_dw()' instead.")
  score_dw(object, variable)
}