error_fun: Performance estimation functions
In emil: Evaluation of Modeling without Information Leakage

Description Usage Arguments Details Author(s) See Also

These functions determine the performance of fitted model based on its predictions. They are used both for evaluating whole modeling procedures and to tune model parameters, i.e. find the parameter values with the best performance. The parameter tuning routine is designed to minimize its error function (or optimization criteria), which is why functions that are to be maximized must have their sign changed, like neg_auc.

error_rate(truth, prediction, allow_rejection = !missing(rejection_cost),
  rejection_cost)

neg_auc(truth, prediction)

rmse(truth, prediction, na.rm = FALSE)

mse(truth, prediction, na.rm = FALSE)

neg_harrell_c(truth, prediction, na.rm = FALSE)

`truth`	The true response values, be it class labels, numeric values or survival outcomes.
`prediction`	A prediction object.
`allow_rejection`	If `FALSE` missing prediction values will produce an error. If `TRUE` missing values will be given a cost specified by the `rejection_cost` argument.
`rejection_cost`	See the argument `allow_rejection`. If missing a rejection cost equivalent to the error rate obtained when assigning all test observations to the most common class will be used.
`na.rm`	Whether to remove missing values or not.

Custom performance estimation functions should be implemented as follows:

function(truth, prediction)

truth: A vector of true responses.
prediction: Prediction returned from the prediction function.

In most cases the true response and the predictions are of the same type, e.g. true and fitted values in a regression or class labels in a classification problem, but it is not a requirement. An example of different types could be if the prediction function produce class probabilities for all classes rather than one label, or the risks that the observations will experience the event of interest, to be compared to the actual outcome that it did occur or has not yet occurred at a specific time point. See neg_harrell_c for an example of the latter.

Christofer Bäcklin

emil, neg_gmpa, modeling_procedure, extension

emil documentation built on Aug. 1, 2018, 1:03 a.m.