Timeline for How to validate a Multinomial Logit and Probit Model fit?
Current License: CC BY-SA 3.0
4 events
| when toggle format | what | by | license | comment | |
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| Jun 10, 2014 at 1:48 | comment | added | user44764 | It seems strange to me to be in a position where I would be evaluating the fit of my model without comparing it to other possible fits, but after a careful reread of the question I think you're right about what is being asked for. | |
| Jun 10, 2014 at 1:37 | comment | added | dimitriy | @Matthew I would not advocate using CMs (or any univariate measures of fit) for automated model selection. I don't think the OP was asking about model selection. But as a measure of fit that tells you if a given model puts people in the right buckets, or perhaps on a hold-out sample, CMs can be useful. | |
| Jun 10, 2014 at 1:24 | comment | added | user44764 | Using confusion matrices is akin to using % predicted, which is an improper scoring rule and could potentially lead to favoring a 'bad' model.. A proper scoring rule as well as McFadden's $R^2$ and other likelihood measures will reward models which better capture the true probabilities. | |
| Jun 10, 2014 at 1:05 | history | answered | dimitriy | CC BY-SA 3.0 |