Questions tagged [deviance]

Deviance is a measure of distance between two probability distributions. In the case of GLMs, (total) deviance is twice the difference in log-likelihood between the full model and the restricted model.

Deviance is a measure of distance between two probability distributions, $f_{\theta_1}$ and $f_{\theta_2}$ defined as:

$$D(\theta_1,\theta_2) = 2E_{\theta_1}\log\frac{f_{\theta_1}(Y)}{f_{\theta_2}(Y)} = 2 \int f_{\theta_1}(y)\log\frac{f_{\theta_1}(y)}{f_{\theta_2}(y)}dy$$

For members of an exponential family,

$$D(\theta_1,\theta_2) = 2[(\theta_1 - \theta_2)\mu_1 - (K(\theta_1) - K(\theta_2))]$$

Where $\mu_1$ is the mean response of $f_{\theta_1}$ and $K(\cdot)$ is the cumulant generating function of $f_{\theta_1}$.

Strictly speaking deviance is not a proper distance metric because $D(\theta_1,\theta_2) \ne D(\theta_2,\theta_2)$. Nevertheless it measures how close two distributions are.

Note that $\frac{D(\theta_1,\theta_2)}{2}$ is also called the Kullback-Leibler distance or "mutual information".

In the case of GLMs, (total) deviance is twice the difference in the log-likelihood between the full model and the model under consideration.

$$D(y,\mu) = 2[\log(f_y(y)) - \log(f_\mu(y))]$$

where $f_y(y)$ is the full (or saturated) model.

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Residual deviance for normal distribution with unknown variance?

An older post defines a saturated model as one having as many parameters as observations. I understand how you calculate residual deviance (and its relation to scaled deviance) when the scale is known. What about the alternative? Suppose, for…
Ian
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What if explained deviance is greater than 1.0 (or 100%)?

I am using explained deviance (sometimes referred to as percent deviance, or deviance explained by the model) as a goodness-of-fit measure for my species distribution model. Explained deviance is calculated as: (Null Deviance - Residual Deviance) /…
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What does deviance represent: a number of points?

I read very carefully the answer to the question "what is deviance?" already asked here, and I understand how to calculate and use deviance for model comparison, for example. However, a question remains as to what deviance actually is. As I was…
Neodyme
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Bit confused on the concept of Deviance

So, I understand what the deviance is; the deviance is simply the residual sum of squares. However, what I don't really get is the decomposition of the total sum of squares. That is $\sum_{i=1}^\infty $($y_i - ybar)^{2}$ = $\sum_{i=1}^\infty $($y_i…
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Constrained Analysis of Principal Coordinates

I used a Constrained Analysis of Principal Coordinates (CAP) to evaluated if my independent variables could explain the ordination of assemblage composition based on species abundances. However, the output only gave me the proportion explained…
Mauricio
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