I have a Poisson regression model, and I would like to measure the discrepancy between actual counts and predicted counts. For binary classification model, the log-loss metrics fits for this purpose. Is there any metrics alike for Poisson models? Similarly, is there any package or is possible to code a function in R for it? Thanks in advance
When fitting a GLM, the deviance is something you'd like to see as low as possible. I believe for a binomial GLM, the binomial deviance is already the log loss. If you run a Poisson GLM, the Poisson deviance should be the number you're looking for. It's spit out by default in
glm() in R.
Check it out what it actually is here.
A bonus benefit to using deviance, is that you can use it to compare models via a $\chi^2$ test.