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title: "A Short Introduction to the blorr Package"
author: "Aravind Hebbali"
output: rmarkdown::html_vignette
vignette: >
%\VignetteIndexEntry{A Short Introduction to the blorr Package}
```{r setup, include = FALSE}
collapse = TRUE,
comment = "#>"
## Introduction
The blorr package offers tools for building and validating binary logistic regression models. It
is most suitable for beginner/intermediate R users and those who teach statistics using R. The API
is very simple and most of the functions take either a `data.frame`/`tibble` or a `model` as input. **blorr** use
consistent prefix **blr_** for easy tab completion.
### Installation
You can install **blorr** using:
```{r install, eval=FALSE}
The documentation of the package can be found at
This vignette gives a quick tour of the package.
### Libraries
The following libraries are used in the examples in the vignette:
```{r libs}
## Data
To demonstrate the features of blorr, we will use the bank marketing data set.
The data is related with direct marketing campaigns of a Portuguese banking
institution. The marketing campaigns were based on phone calls. Often, more
than one contact to the same client was required, in order to access if the
product (bank term deposit) would be ('yes') or not ('no') subscribed. It
contains a random sample (~4k) of the original data set which can be found
## Bivariate Analysis
Let us begin with careful bivariate analysis of each possible variable and the
outcome variable. We will use information value and likelihood ratio chi square
test for selecting the initial set of predictors for our model. The bivariate
analysis is currently avialable for categorical predictors only.
```{r bivar1}
blr_bivariate_analysis(bank_marketing, y, job, marital, education, default,
housing, loan, contact, poutcome)
### Weight of Evidence & Information Value
Weight of evidence (WoE) is used to assess the relative risk of di¤erent
attributes for a characteristic and as a means to transform characteristics
into variables. It is also a very useful tool for binning. The WoE for any
group with average odds is zero. A negative WoE indicates that the proportion
of defaults is higher for that attribute than the overall proportion and
indicates higher risk.
The information value is used to rank order variables in terms of their
predictive power. A high information value indicates a high ability to
discriminate. Values for the information value will always be positive and may
be above 3 when assessing highly predictive characteristics. Characteristics
with information values less than 0:10 are typically viewed as weak, while
values over 0.30 are sought after.
```{r woe1}
blr_woe_iv(bank_marketing, job, y)
#### Plot
```{r woeplot, fig.align='center', fig.width=7, fig.height=5}
k <- blr_woe_iv(bank_marketing, job, y)
#### Multiple Variables
We can generate the weight of evidence and information value for multiple
variables using `blr_woe_iv_stats()`.
```{r woe2}
blr_woe_iv_stats(bank_marketing, y, job, marital, education)
`blr_woe_iv()` and `blr_woe_iv_stats()` are currently avialable for categorical
predictors only.
## Stepwise Selection
For the initial/ first cut model, all the independent variables are put into
the model. Our goal is to include a limited number of independent variables
(5-15) which are all significant, without sacrificing too much on the model
performance. The rationale behind not-including too many variables is that the
model would be over fitted and would become unstable when tested on the
validation sample. The variable reduction is done using forward or backward
or stepwise variable selection procedures. We will use `blr_step_aic_both()`
to shortlist predictors for our model.
### Model
```{r mod1}
model <- glm(y ~ ., data = bank_marketing, family = binomial(link = 'logit'))
#### Selection Summary
```{r stepwise1}
#### Plot
```{r stepwise3, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_step_aic_both() %>%
## Regression Output
### Model
We can use bivariate analysis and stepwise selection procedure to shortlist
predictors and build the model using the `glm()`. The predictors used in the
below model are for illustration purposes and not necessarily shortlisted
from the bivariate analysis and variable selection procedures.
```{r model}
model <- glm(y ~ age + duration + previous + housing + default +
loan + poutcome + job + marital, data = bank_marketing,
family = binomial(link = 'logit'))
Use `blr_regress()` to generate comprehensive regression output. It accepts
either of the following
- model built using `glm()`
- model formula and data
#### Using Model
Let us look at the output generated from `blr_regress()`:
```{r reg1}
If you want to examine the odds ratio estimates, set `odd_conf_limit` to `TRUE`.
The odds ratio estimates are not explicitly computed as we observed considerable
increase in computation time when dealing with large data sets.
#### Using Formula
Let us use the model formula and the data set to generate the above results.
```{r reg2}
blr_regress(y ~ age + duration + previous + housing + default +
loan + poutcome + job + marital, data = bank_marketing)
## Model Fit Statistics
Model fit statistics are available to assess how well the model fits the data
and to compare two different models.The output includes likelihood ratio test,
AIC, BIC and a host of pseudo r-squared measures. You can read more about
pseudo r-squared at
#### Single Model
```{r mfs}
## Model Validation
### Confusion Matrix
In the event of deciding a cut-off point on the probability scores of a
logistic regression model, a confusion matrix is created corresponding to a
particular cut-off. The observations with probability scores above the cut-off
score are predicted to be events and those below the cut-off score, as
non-events. The confusion matrix, a 2X2 table, then calculates the number of
correctly classified and miss-classified observations.
```{r val5}
blr_confusion_matrix(model, cutoff = 0.5)
The validity of a cut-off is measured using sensitivity, specificity and accuracy.
- **Sensitivity**: The % of correctly classified events out of all events = TP / (TP + FN)
- **Specificity**: The % of correctly classified non-events out of all non-events = TN / (TN + FP)
- **Accuracy**: The % of correctly classified observation over all observations = (TP + TN) / (TP + FP + TN + FN)
- *True Positive (TP)* : Events correctly classified as events.
- *True Negative (TN)* : Non-Events correctly classified as non-events.
- *False Positive (FP)*: Non-events miss-classified as events.
- *False Negative (FN)*: Events miss-classified as non-events.
For a standard logistic model, the higher is the cut-off, the lower will be the
sensitivity and the higher would be the specificity. As the cut-off is
decreased, sensitivity will go up, as then more events would be captured. Also,
specificity will go down, as more non-events would miss-classified as events.
Hence a trade-off is done based on the requirements. For example, if we are
looking to capture as many events as possible, and we can afford to have
miss-classified non-events, then a low cut-off is taken.
### Hosmer Lemeshow Test
Hosmer and Lemeshow developed a goodness-of-fit test for logistic regression
models with binary responses. The test involves dividing the data into
approximately ten groups of roughly equal size based on the percentiles of the
estimated probabilities. The observations are sorted in increasing order of
their estimated probability of having an even outcome. The discrepancies
between the observed and expected number of observations in these groups are
summarized by the Pearson chi-square statistic, which is then compared to
chi-square distribution with t degrees of freedom, where t is the number of
groups minus 2. Lower values of Goodness-of-fit are preferred.
```{r val6}
### Gains Table & Lift Chart
A lift curve is a graphical representation of the % of cumulative events
captured at a specific cut-off. The cut-off can be a particular decile or a
percentile. Similar, to rank ordering procedure, the data is in descending
order of the scores and is then grouped into deciles/percentiles. The
cumulative number of observations and events are then computed for each
decile/percentile. The lift curve is the created using the cumulative %
population as the x-axis and the cumulative percentage of events as the y-axis.
```{r val1}
#### Lift Chart
```{r val7, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_gains_table() %>%
### ROC Curve
ROC curve is a graphical representation of the validity of cut-offs for a
logistic regression model. The ROC curve is plotted using the sensitivity and
specificity for all possible cut-offs, i.e., all the probability scores. The
graph is plotted using sensitivity on the y-axis and 1-specificity on the
x-axis. Any point on the ROC curve represents a sensitivity X (1-specificity)
measure corresponding to a cut-off. The area under the ROC curve is used as a
validation measure for the model – the bigger the area the better is the model.
```{r val2, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_gains_table() %>%
### KS Chart
The KS Statistic is again a measure of model efficiency, and it is created
using the lift curve. The lift curve is created to plot % events. If we also
plot % non-events on the same scale, with % population at x-axis, we would get
another curve. The maximum distance between the lift curve for events and that
for non-events is termed as KS. For a good model, KS should be big (>=0.3) and
should occur as close to the event rate as possible.
```{r val3, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_gains_table() %>%
### Decile Lift Chart
The decile lift chart displays the lift over the global mean event rate for
each decile. For a model with good discriminatory power, the top deciles should
have an event/conversion rate greater than the global mean.
```{r val9, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_gains_table() %>%
### Capture Rate by Decile
If the model has good discriminatory power, the top deciles should have a higher
event/conversion rate compared to the bottom deciles.
```{r val8, fig.align='center', fig.width=7, fig.height=5}
model %>%
blr_gains_table() %>%
### Lorenz Curve
The Lorenz curve is a simple graphic device which illustrates the degree of
inequality in the distribution of thevariable concerned. It is a visual
representation of inequality used to measure the discriminatory power of the
predictive model.
```{r val4, fig.align='center', fig.width=7, fig.height=5}
## Residual & Influence Diagnostics
**blorr** can generate 22 plots for residual, influence and leverage diagnostics.
#### Influence Diagnostics
```{r infl, fig.align='center', fig.height=10, fig.width=8}
#### Leverage Diagnostics
```{r lev, fig.align='center', fig.height=7, fig.width=7}
#### Fitted Values Diagnostics
```{r fit, fig.align='center', fig.height=7, fig.width=7}