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4.3 Logistic Regression 133 β 1 does not correspond to the change in p(X) associated with a one-unit increase in X. The amount that p(X) changes due to a one-unit change in X will depend on the current value of X. But regardless of the value of X, if β 1 is positive then increasing X will be associated with increasing p(X), and if β 1 is negative then increasing X will be associated with decreasing p(X). The fact that there is not a straight-line relationship between p(X) and X, and the fact that the rate of change in p(X) per unit change in X depends on the current value of X, can also be seen by inspection of the right-hand panel of Figure 4.2. 4.3.2 Estimating the Regression Coefficients The coefficients β 0 and β 1 in (4.2) are unknown, and must be estimated based on the available training data. In Chapter 3, we used the least squares approach to estimate the unknown linear regression coefficients. Although we could use (non-linear) least squares to fit the model (4.4), the more general method of maximum likelihood is preferred, since it has better statistical properties. The basic intuition behind using maximum likelihood to fit a logistic regression model is as follows: we seek estimates for β 0 and β 1 such that the predicted probability ˆp(x i ) of default for each individual, using (4.2), corresponds as closely as possible to the individual’s observed default status. In other words, we try to find ˆβ 0 and ˆβ 1 such that plugging these estimates into the model for p(X), given in (4.2), yields a number close to one for all individuals who defaulted, and a number close to zero for all individuals who did not. This intuition can be formalized using a mathematical equation called a likelihood function: l(β 0 ,β 1 )= ∏ i:y i=1 p(x i ) ∏ i ′ :y i ′ =0 (1 − p(x i ′)). (4.5) The estimates ˆβ 0 and ˆβ 1 are chosen to maximize this likelihood function. Maximum likelihood is a very general approach that is used to fit many of the non-linear models that we examine throughout this book. In the linear regression setting, the least squares approach is in fact a special case of maximum likelihood. The mathematical details of maximum likelihood are beyond the scope of this book. However, in general, logistic regression and other models can be easily fit using a statistical software package such as R, and so we do not need to concern ourselves with the details of the maximum likelihood fitting procedure. Table 4.1 shows the coefficient estimates and related information that result from fitting a logistic regression model on the Default data in order to predict the probability of default=Yes using balance. Weseethat ˆβ 1 = 0.0055; this indicates that an increase in balance is associated with an increase in the probability of default. To be precise, a one-unit increase in balance is associated with an increase in the log odds of default by 0.0055 units. likelihood function
134 4. Classification Coefficient Std. error Z-statistic P-value Intercept −10.6513 0.3612 −29.5
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Springer Texts in Statistics Gareth
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Gareth James • Daniela Witten •
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To our parents: Alison and Michael
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viii Preface disciplines who wish t
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x Contents 3 Linear Regression 59 3
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xii Contents 6.6 Lab 2: Ridge Regre
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xiv Contents 10.5 Lab 2: Clustering
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2 1. Introduction Wage 50 100 200 3
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4 1. Introduction Predicted Probabi
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6 1. Introduction of least squares,
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8 1. Introduction in order to contr
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10 1. Introduction In general, we w
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12 1. Introduction of A and B is de
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14 1. Introduction Name Auto Boston
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26 2. Statistical Learning additive
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28 2. Statistical Learning tistical
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30 2. Statistical Learning where ˆ
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3 Linear Regression This chapter is
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3.1 Simple Linear Regression 3.1 Si
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3.1 Simple Linear Regression 63 3 2
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3.1 Simple Linear Regression 65 con
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3.1 Simple Linear Regression 67 In
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Quantity Value Residual standard er
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3.2 Multiple Linear Regression 71 a
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3.2 Multiple Linear Regression 73 Y
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3.2 Multiple Linear Regression 77 w
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3.2 Multiple Linear Regression 81 S
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186 5. Resampling Methods Error Rat
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190 5. Resampling Methods Obs X Y Z
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192 5. Resampling Methods > mean((m
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194 5. Resampling Methods first is
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196 5. Resampling Methods Next, we
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198 5. Resampling Methods (f) When
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200 5. Resampling Methods predict.g
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6 Linear Model Selection and Regula
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6.1 Subset Selection 205 6.1 Subset
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6.1 Subset Selection 207 p = 20, th
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6.1 Subset Selection 209 #Variables
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6.1 Subset Selection 211 C p 10000
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6.1 Subset Selection 213 will lead
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6.2 Shrinkage Methods 215 obvious w
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6.2 Shrinkage Methods 217 regressio
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6.2 Shrinkage Methods 219 discussed
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6.2 Shrinkage Methods 223 Mean Squa
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6.2 Shrinkage Methods 225 To simpli
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6.2 Shrinkage Methods 227 (β j ) 0
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6.7 Lab 3: PCR and PLS Regression 2
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7 Moving Beyond Linearity So far in
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|| 7.1 Polynomial Regression 267 De
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7.4 Regression Splines 271 7.4 Regr
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7.4 Regression Splines 273 plot is
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7.4 Regression Splines 275 Natural
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7.5 Smoothing Splines 277 Wage 50 1
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7.5 Smoothing Splines 279 to the nu
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7.6 Local Regression 281 Local Regr
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7.7 Generalized Additive Models 283
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7.7 Generalized Additive Models 285
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7.8 Lab: Non-linear Modeling 287 25
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7.8 Lab: Non-linear Modeling 289 po
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7.8.2 Splines 7.8 Lab: Non-linear M
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7.9 Exercises 297 It is easy to see
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304 8. Tree-Based Methods Years < 4
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306 8. Tree-Based Methods have been
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312 8. Tree-Based Methods E =1− m
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314 8. Tree-Based Methods Figure 8.
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316 8. Tree-Based Methods ▼ Unfor
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318 8. Tree-Based Methods Error 0.1
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320 8. Tree-Based Methods 8.2.2 Ran
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322 8. Tree-Based Methods of the ot
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328 8. Tree-Based Methods Residual
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330 8. Tree-Based Methods The test
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332 8. Tree-Based Methods 8.4 Exerc
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334 8. Tree-Based Methods (e) Use r
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9 Support Vector Machines In this c
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9.1 Maximal Margin Classifier 339 X
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9.1 Maximal Margin Classifier 341 h
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9.1 Maximal Margin Classifier 343 m
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9.2 Support Vector Classifiers 345
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9.2 Support Vector Classifiers 347
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9.3 Support Vector Machines 349 X2
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9.3 Support Vector Machines 351 in
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9.3 Support Vector Machines 353 X2
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9.4 SVMs with More than Two Classes
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9.5 Relationship to Logistic Regres
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9.6 Lab: Support Vector Machines 35
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9.6.3 ROC Curves 9.6 Lab: Support V
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Obs. X 1 X 2 Y 1 3 4 Red 2 2 2 Red
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10 Unsupervised Learning Most of th
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10.2 Principal Components Analysis
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10.2.4 Other Uses for Principal Com
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10.3 Clustering Methods 387 K=2 K=3
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10.3 Clustering Methods 389 Data St
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10.3 Clustering Methods 391 X2 −2
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10.3 Clustering Methods 393 0.0 0.5
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Algorithm 10.2 Hierarchical Cluster
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10.3 Clustering Methods 397 Average
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10.3 Clustering Methods 399 0 2 4 6
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10.4 Lab 1: Principal Components An
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10.5 Lab 2: Clustering 405 Cluster
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10.6 Lab 3: NCI60 Data Example 407
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10.7 Exercises 413 differ: for inst
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10.7 Exercises 415 (b) At a certain
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10.7 Exercises 417 10. In this prob
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Index C p , 78, 205, 206, 210-213 R
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Index 421 Wage, 1, 2, 9, 10, 14, 26
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Index 423 noise, 22, 228 non-linear
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Index 425 read.table(), 48, 49 regs
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