Probable Error in fmsb package

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Probable Error in fmsb package

anindya55
Hi All,

The fmsb package has a function called Variance Inflation Factor and it
states the definition of the function as follows:-

"To evaluate multicolinearity of multiple regression model, calculating the
variance inflation factor (VIF) from the result of lm(). If VIF is more
than 10, multicolinearity is strongly suggested.
"

​The function computes VIF of a model as 1/(1-R^2) where R^2 is the
coefficient of determination.

Now nowhere in literature I have come across this definition of VIF, as VIF
is always computed at individual variable level. Though the structure is
almost the same, R^2 in theoretical VIF is the partial correlation
coefficient.

​I only came aware when lots of freshers from non statistics background I
interviewed for analytics position answered that the only definition of VIF
they know is 1/(1 - Coeff. of Determination), and there is a R package
which calculates VIF like that.

After researched I found that such a function indeed exist in fmsb package.

Please help me understand has an alternate definition of Variance Inflation
Factor has ever emerged in theory? Does it really make sense to have VIF at
a model level, as it does not help in solving the problem of
multicollinearity during model building.

And if I am right, what steps I should do about it.


--
Anindya Sankar Dey

        [[alternative HTML version deleted]]

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Re: Probable Error in fmsb package

David Winsemius

> On Dec 29, 2015, at 10:35 PM, Anindya Sankar Dey <[hidden email]> wrote:
>
> Hi All,
>
> The fmsb package has a function called Variance Inflation Factor and it
> states the definition of the function as follows:-
>
> "To evaluate multicolinearity of multiple regression model, calculating the
> variance inflation factor (VIF) from the result of lm(). If VIF is more
> than 10, multicolinearity is strongly suggested.
> "
>
> ​The function computes VIF of a model as 1/(1-R^2) where R^2 is the
> coefficient of determination.
>
> Now nowhere in literature I have come across this definition of VIF, as VIF
> is always computed at individual variable level. Though the structure is
> almost the same, R^2 in theoretical VIF is the partial correlation
> coefficient.
>
> ​I only came aware when lots of freshers from non statistics background I
> interviewed for analytics position answered that the only definition of VIF
> they know is 1/(1 - Coeff. of Determination), and there is a R package
> which calculates VIF like that.
>
> After researched I found that such a function indeed exist in fmsb package.
>
> Please help me understand has an alternate definition of Variance Inflation
> Factor has ever emerged in theory? Does it really make sense to have VIF at
> a model level, as it does not help in solving the problem of
> multicollinearity during model building.
>
> And if I am right, what steps I should do about it.

This is not the correct location to post questions about non-base packages. There is a `maintainer` funciton that should deliver the correct email address for submission of complaints, advice, revisions, and feature requests.

--
David.

>
>
> --
> Anindya Sankar Dey
>
> [[alternative HTML version deleted]]
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

David Winsemius
Alameda, CA, USA

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
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Re: Probable Error in fmsb package

Bert Gunter-2
... Nor is this forum usually appropriate for questions about
statistical methodology (your model building remark at the end). I
suggest you try a statistical forum like stats.stackexchange.com for
that instead.

Cheers,
Bert


Bert Gunter

"The trouble with having an open mind is that people keep coming along
and sticking things into it."
-- Opus (aka Berkeley Breathed in his "Bloom County" comic strip )


On Tue, Dec 29, 2015 at 11:45 PM, David Winsemius
<[hidden email]> wrote:

>
>> On Dec 29, 2015, at 10:35 PM, Anindya Sankar Dey <[hidden email]> wrote:
>>
>> Hi All,
>>
>> The fmsb package has a function called Variance Inflation Factor and it
>> states the definition of the function as follows:-
>>
>> "To evaluate multicolinearity of multiple regression model, calculating the
>> variance inflation factor (VIF) from the result of lm(). If VIF is more
>> than 10, multicolinearity is strongly suggested.
>> "
>>
>> The function computes VIF of a model as 1/(1-R^2) where R^2 is the
>> coefficient of determination.
>>
>> Now nowhere in literature I have come across this definition of VIF, as VIF
>> is always computed at individual variable level. Though the structure is
>> almost the same, R^2 in theoretical VIF is the partial correlation
>> coefficient.
>>
>> I only came aware when lots of freshers from non statistics background I
>> interviewed for analytics position answered that the only definition of VIF
>> they know is 1/(1 - Coeff. of Determination), and there is a R package
>> which calculates VIF like that.
>>
>> After researched I found that such a function indeed exist in fmsb package.
>>
>> Please help me understand has an alternate definition of Variance Inflation
>> Factor has ever emerged in theory? Does it really make sense to have VIF at
>> a model level, as it does not help in solving the problem of
>> multicollinearity during model building.
>>
>> And if I am right, what steps I should do about it.
>
> This is not the correct location to post questions about non-base packages. There is a `maintainer` funciton that should deliver the correct email address for submission of complaints, advice, revisions, and feature requests.
>
> --
> David.
>>
>>
>> --
>> Anindya Sankar Dey
>>
>>       [[alternative HTML version deleted]]
>>
>> ______________________________________________
>> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
>> https://stat.ethz.ch/mailman/listinfo/r-help
>> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
>> and provide commented, minimal, self-contained, reproducible code.
>
> David Winsemius
> Alameda, CA, USA
>
> ______________________________________________
> [hidden email] mailing list -- To UNSUBSCRIBE and more, see
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
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Re: Probable Error in fmsb package

Heinz Tuechler
In reply to this post by anindya55


Anindya Sankar Dey wrote/hat geschrieben on/am 30.12.2015 07:35:

> Hi All,
>
> The fmsb package has a function called Variance Inflation Factor and it
> states the definition of the function as follows:-
>
> "To evaluate multicolinearity of multiple regression model, calculating the
> variance inflation factor (VIF) from the result of lm(). If VIF is more
> than 10, multicolinearity is strongly suggested.
> "
>
> ​The function computes VIF of a model as 1/(1-R^2) where R^2 is the
> coefficient of determination.
>
> Now nowhere in literature I have come across this definition of VIF, as VIF
> is always computed at individual variable level. Though the structure is
> almost the same, R^2 in theoretical VIF is the partial correlation
> coefficient.
>
> ​I only came aware when lots of freshers from non statistics background I
> interviewed for analytics position answered that the only definition of VIF
> they know is 1/(1 - Coeff. of Determination), and there is a R package
> which calculates VIF like that.
>
> After researched I found that such a function indeed exist in fmsb package.
>
> Please help me understand has an alternate definition of Variance Inflation
> Factor has ever emerged in theory? Does it really make sense to have VIF at
> a model level, as it does not help in solving the problem of
> multicollinearity during model building.
>
> And if I am right, what steps I should do about it.
>
>
Dear Anindya,

to me it seems clear from the example on the help page that VIF() is not
intended to be applied to the model of interest, but to separate models
for each covariable.

The model of interest in the example is
# the target multiple regression model
res <- lm(Ozone ~ Wind+Temp+Solar.R, data=airquality)

The VIF is calculated on submodels for each covariate.
# checking multicolinearity for independent variables.
VIF(lm(Wind ~ Temp+Solar.R, data=airquality))
VIF(lm(Temp ~ Wind+Solar.R, data=airquality))
VIF(lm(Solar.R ~ Wind+Temp, data=airquality))

Does that agree with your usual definition of a variance inflation factor?

best regards,

Heinz

______________________________________________
[hidden email] mailing list -- To UNSUBSCRIBE and more, see
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.