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P values for sklearn logistic regression
from sklearn import linear_model
import numpy as np
import scipy.stats as stat
class LogisticReg:
"""
Wrapper Class for Logistic Regression which has the usual sklearn instance
in an attribute self.model, and pvalues, z scores and estimated
errors for each coefficient in
self.z_scores
self.p_values
self.sigma_estimates
as well as the negative hessian of the log Likelihood (Fisher information)
self.F_ij
"""
def __init__(self,*args,**kwargs):#,**kwargs):
self.model = linear_model.LogisticRegression(*args,**kwargs)#,**args)
def fit(self,X,y):
self.model.fit(X,y)
#### Get p-values for the fitted model ####
denom = (2.0*(1.0+np.cosh(self.model.decision_function(X))))
denom = np.tile(denom,(X.shape[1],1)).T
F_ij = np.dot((X/denom).T,X) ## Fisher Information Matrix
Cramer_Rao = np.linalg.inv(F_ij) ## Inverse Information Matrix
sigma_estimates = np.sqrt(np.diagonal(Cramer_Rao))
z_scores = self.model.coef_[0]/sigma_estimates # z-score for eaach model coefficient
p_values = [stat.norm.sf(abs(x))*2 for x in z_scores] ### two tailed test for p-values
self.z_scores = z_scores
self.p_values = p_values
self.sigma_estimates = sigma_estimates
self.F_ij = F_ij
@JackCollins1991
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JackCollins1991 commented May 29, 2021

Hi @biohousten , your code was very helpful, but I am getting an error claiming 'dep_acute' is not defined, can you help me understand where this variable comes from? Cheers

@DavidBrown-RRT
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DavidBrown-RRT commented Jun 30, 2022

It boggles my mind that it is so freaking complicated to get a p-value in sklearn. My God, what is the freaking point of doing logistic regression if you can't assess whether your p-values are significant or not? Why is this not a basic function argument?

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