R/r2_coxsnell.R

In performance: Assessment of Regression Models Performance

#' @title Cox & Snell's R2
#' @name r2_coxsnell
#'
#' @description
#' Calculates the pseudo-R2 value based on the proposal from *Cox & Snell (1989)*.
#'
#' @param model Model with binary outcome.
#' @param ... Currently not used.
#'
#' @details
#' This index was proposed by *Cox and Snell (1989, pp. 208-9)* and, apparently
#' independently, by *Magee (1990)*; but had been suggested earlier for binary
#' response models by *Maddala (1983)*. However, this index achieves a maximum
#' of less than 1 for discrete models (i.e. models whose likelihood is a product
#' of probabilities) which have a maximum of 1, instead of densities, which can
#' become infinite *(Nagelkerke, 1991)*.
#'
#' @return A named vector with the R2 value.
#'
#' @examples
#' model <- glm(vs ~ wt + mpg, data = mtcars, family = "binomial")
#' r2_coxsnell(model)
#'
#' @references
#' - Cox, D. R., Snell, E. J. (1989). Analysis of binary data (Vol. 32).
#'   Monographs on Statistics and Applied Probability.
#' - Magee, L. (1990). R 2 measures based on Wald and likelihood ratio joint
#'   significance tests. The American Statistician, 44(3), 250-253.
#' - Maddala, G. S. (1986). Limited-dependent and qualitative variables in
#'   econometrics (No. 3). Cambridge university press.
#' - Nagelkerke, N. J. (1991). A note on a general definition of the coefficient
#'   of determination. Biometrika, 78(3), 691-692.
#'
#' @export
r2_coxsnell <- function(model, ...) {
  UseMethod("r2_coxsnell")
}


# helper ---------------------------


.r2_coxsnell <- function(model, l_base) {
  l_full <- insight::get_loglikelihood(model)
  G2 <- -2 * (l_base - l_full)

  # Is it still necessary?
  if (inherits(model, c("vglm", "vgam", "clm2"))) {
    n <- suppressWarnings(insight::n_obs(model))
  } else {
    n <- attr(l_full, "nobs")
    if (is.null(n)) n <- suppressWarnings(insight::n_obs(model, disaggregate = TRUE))
  }

  r2_coxsnell <- as.vector(1 - exp(-G2 / n))

  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}



# r2-coxsnell based on model information ---------------------------


#' @export
r2_coxsnell.glm <- function(model, verbose = TRUE, ...) {
  info <- list(...)$model_info
  if (is.null(info)) {
    info <- suppressWarnings(insight::model_info(model, verbose = FALSE))
  }
  # Cox & Snell's R2 is not defined for binomial models that are not Bernoulli models
  if (info$is_binomial && !info$is_bernoulli && class(model)[1] == "glm") {
    if (verbose) {
      insight::format_alert("Can't calculate accurate R2 for binomial models that are not Bernoulli models.")
    }
    return(NULL)
  }
  # if no deviance, return NULL
  if (is.null(model$deviance)) {
    return(NULL)
  }
  r2_coxsnell <- (1 - exp((model$deviance - model$null.deviance) / insight::n_obs(model, disaggregate = TRUE)))
  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}

#' @export
r2_coxsnell.BBreg <- r2_coxsnell.glm


#' @export
r2_coxsnell.glmmTMB <- function(model, verbose = TRUE, ...) {
  info <- list(...)$model_info
  if (is.null(info)) {
    info <- suppressWarnings(insight::model_info(model, verbose = FALSE))
  }
  # Cox & Snell's R2 is not defined for binomial models that are not Bernoulli models
  if (info$is_binomial && !info$is_bernoulli) {
    if (verbose) {
      insight::format_alert("Can't calculate accurate R2 for binomial models that are not Bernoulli models.")
    }
    return(NULL)
  }
  dev <- stats::deviance(model)
  # if no deviance, return NULL
  if (is.null(dev)) {
    return(NULL)
  }
  null_dev <- stats::deviance(insight::null_model(model))
  r2_coxsnell <- (1 - exp((dev - null_dev) / insight::n_obs(model, disaggregate = TRUE)))
  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}


#' @export
r2_coxsnell.nestedLogit <- function(model, ...) {
  n <- insight::n_obs(model, disaggregate = TRUE)
  stats::setNames(
    lapply(names(model$models), function(i) {
      m <- model$models[[i]]
      # if no deviance, return NA
      if (is.null(m$deviance)) {
        return(NA)
      }
      r2_coxsnell <- (1 - exp((m$deviance - m$null.deviance) / n[[i]]))
      names(r2_coxsnell) <- "Cox & Snell's R2"
      r2_coxsnell
    }),
    names(model$models)
  )
}


#' @export
r2_coxsnell.mclogit <- function(model, ...) {
  insight::check_if_installed("mclogit", reason = "to calculate R2")
  s <- mclogit::getSummary.mclogit(model)
  r2_coxsnell <- s$sumstat["Cox.Snell"]
  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}

#' @export
r2_coxsnell.mblogit <- function(model, ...) {
  insight::check_if_installed("mclogit", reason = "to calculate R2")
  s <- mclogit::getSummary.mblogit(model)
  r2_coxsnell <- s$sumstat["Cox.Snell"]
  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}

#' @export
r2_coxsnell.bife <- function(model, ...) {
  r2_coxsnell <- (1 - exp((model$deviance - model$null_deviance) / insight::n_obs(model)))
  names(r2_coxsnell) <- "Cox & Snell's R2"
  r2_coxsnell
}



# mfx models ---------------------


#' @export
r2_coxsnell.logitmfx <- function(model, ...) {
  r2_coxsnell(model$fit, ...)
}

#' @export
r2_coxsnell.logitor <- r2_coxsnell.logitmfx

#' @export
r2_coxsnell.poissonirr <- r2_coxsnell.logitmfx

#' @export
r2_coxsnell.poissonmfx <- r2_coxsnell.logitmfx

#' @export
r2_coxsnell.probit <- r2_coxsnell.logitmfx

#' @export
r2_coxsnell.negbinirr <- r2_coxsnell.logitmfx

#' @export
r2_coxsnell.negbinmfx <- r2_coxsnell.logitmfx




# r2-coxsnell based on loglik stored in model object ---------------------------


#' @export
r2_coxsnell.coxph <- function(model, ...) {
  l_base <- model$loglik[1]
  .r2_coxsnell(model, l_base)
}

#' @export
r2_coxsnell.survreg <- r2_coxsnell.coxph

#' @export
r2_coxsnell.svycoxph <- function(model, ...) {
  l_base <- model$ll[1]
  .r2_coxsnell(model, l_base)
}



# r2-coxsnell based on loglik of null-model (update) ---------------------------


#' @export
r2_coxsnell.multinom <- function(model, ...) {
  l_base <- insight::get_loglikelihood(stats::update(model, ~1, trace = FALSE))
  .r2_coxsnell(model, l_base)
}

#' @export
r2_coxsnell.clm2 <- function(model, ...) {
  l_base <- insight::get_loglikelihood(stats::update(model, location = ~1, scale = ~1))
  .r2_coxsnell(model, l_base)
}

#' @export
r2_coxsnell.bayesx <- function(model, ...) {
  junk <- utils::capture.output(l_base <- insight::get_loglikelihood(stats::update(model, ~1))) # nolint
  .r2_coxsnell(model, l_base)
}

#' @export
r2_coxsnell.clm <- function(model, ...) {
  l_base <- insight::get_loglikelihood(stats::update(model, ~1))
  # if no loglik, return NA
  if (length(as.numeric(l_base)) == 0) {
    return(NULL)
  }
  .r2_coxsnell(model, l_base)
}

#' @export
r2_coxsnell.crch <- r2_coxsnell.clm

#' @export
r2_coxsnell.serp <- r2_coxsnell.clm

#' @export
r2_coxsnell.cpglm <- r2_coxsnell.clm

#' @export
r2_coxsnell.censReg <- r2_coxsnell.clm

#' @export
r2_coxsnell.truncreg <- r2_coxsnell.clm

#' @export
r2_coxsnell.polr <- r2_coxsnell.clm

#' @export
r2_coxsnell.glmx <- r2_coxsnell.clm

#' @export
r2_coxsnell.DirichletRegModel <- r2_coxsnell.clm