Classification I
2024-10-09
library(ISLR2)
names(Smarket)
## [1] "Year" "Lag1" "Lag2" "Lag3" "Lag4" "Lag
5"
## [7] "Volume" "Today" "Direction"
summary(Smarket)
## Year Lag1 Lag2 Lag3
## Min. :2001 Min. :-4.922000 Min. :-4.922000 Min. :-4.9
22000
## 1st Qu.:2002 1st Qu.:-0.639500 1st Qu.:-0.639500 1st Qu.:-0.6
40000
## Median :2003 Median : 0.039000 Median : 0.039000 Median : 0.0
38500
## Mean :2003 Mean : 0.003834 Mean : 0.003919 Mean : 0.0
01716
## 3rd Qu.:2004 3rd Qu.: 0.596750 3rd Qu.: 0.596750 3rd Qu.: 0.5
96750
## Max. :2005 Max. : 5.733000 Max. : 5.733000 Max. : 5.7
33000
## Lag4 Lag5 Volume Today
## Min. :-4.922000 Min. :-4.92200 Min. :0.3561 Min. :-4.
922000
## 1st Qu.:-0.640000 1st Qu.:-0.64000 1st Qu.:1.2574 1st Qu.:-0.
639500
## Median : 0.038500 Median : 0.03850 Median :1.4229 Median : 0.
038500
## Mean : 0.001636 Mean : 0.00561 Mean :1.4783 Mean : 0.
003138
## 3rd Qu.: 0.596750 3rd Qu.: 0.59700 3rd Qu.:1.6417 3rd Qu.: 0.
596750
## Max. : 5.733000 Max. : 5.73300 Max. :3.1525 Max. : 5.
733000
## Direction
## Down:602
## Up :648
##
##
##
##
pairs(Smarket)
cor(Smarket[, -9])
## Year Lag1 Lag2 Lag3 Lag
4
## Year 1.00000000 0.029699649 0.030596422 0.033194581 0.03568871
8
## Lag1 0.02969965 1.000000000 -0.026294328 -0.010803402 -0.00298591
1
## Lag2 0.03059642 -0.026294328 1.000000000 -0.025896670 -0.01085353
3
## Lag3 0.03319458 -0.010803402 -0.025896670 1.000000000 -0.02405103
6
## Lag4 0.03568872 -0.002985911 -0.010853533 -0.024051036 1.00000000
0
## Lag5 0.02978799 -0.005674606 -0.003557949 -0.018808338 -0.02708364
1
## Volume 0.53900647 0.040909908 -0.043383215 -0.041823686 -0.04841424
6
## Today 0.03009523 -0.026155045 -0.010250033 -0.002447647 -0.00689952
7
## Lag5 Volume Today
## Year 0.029787995 0.53900647 0.030095229
## Lag1 -0.005674606 0.04090991 -0.026155045
## Lag2 -0.003557949 -0.04338321 -0.010250033
## Lag3 -0.018808338 -0.04182369 -0.002447647
## Lag4 -0.027083641 -0.04841425 -0.006899527
## Lag5 1.000000000 -0.02200231 -0.034860083
## Volume -0.022002315 1.00000000 0.014591823
## Today -0.034860083 0.01459182 1.000000000
attach(Smarket)
plot(Volume)
glm.fit=glm(Direction~Lag1+Lag2+Lag3+Lag4+Lag5+Volume, data=Smarket, fa
mily=binomial)
summary(glm.fit)
##
## Call:
## glm(formula = Direction ~ Lag1 + Lag2 + Lag3 + Lag4 + Lag5 +
## Volume, family = binomial, data = Smarket)
##
## Coefficients:
## Estimate Std. Error z value Pr(>|z|)
## (Intercept) -0.126000 0.240736 -0.523 0.601
## Lag1 -0.073074 0.050167 -1.457 0.145
## Lag2 -0.042301 0.050086 -0.845 0.398
## Lag3 0.011085 0.049939 0.222 0.824
## Lag4 0.009359 0.049974 0.187 0.851
## Lag5 0.010313 0.049511 0.208 0.835
## Volume 0.135441 0.158360 0.855 0.392
##
## (Dispersion parameter for binomial family taken to be 1)
##
## Null deviance: 1731.2 on 1249 degrees of freedom
## Residual deviance: 1727.6 on 1243 degrees of freedom
## AIC: 1741.6
##
## Number of Fisher Scoring iterations: 3
coef(glm.fit)
## (Intercept) Lag1 Lag2 Lag3 Lag4
Lag5
## -0.126000257 -0.073073746 -0.042301344 0.011085108 0.009358938 0.
010313068
## Volume
## 0.135440659
summary(glm.fit)$coef
## Estimate Std. Error z value Pr(>|z|)
## (Intercept) -0.126000257 0.24073574 -0.5233966 0.6006983
## Lag1 -0.073073746 0.05016739 -1.4565986 0.1452272
## Lag2 -0.042301344 0.05008605 -0.8445733 0.3983491
## Lag3 0.011085108 0.04993854 0.2219750 0.8243333
## Lag4 0.009358938 0.04997413 0.1872757 0.8514445
## Lag5 0.010313068 0.04951146 0.2082966 0.8349974
## Volume 0.135440659 0.15835970 0.8552723 0.3924004
glm.probs=predict(glm.fit, type="response")
glm.probs[1:10]
## 1 2 3 4 5 6
7 8
## 0.5070841 0.4814679 0.4811388 0.5152224 0.5107812 0.5069565 0.492650
9 0.5092292
## 9 10
## 0.5176135 0.4888378
contrasts(Direction)
## Up
## Down 0
## Up 1
glm.pred=rep("Down", 1250)
glm.pred[glm.probs > .5]="Up"
table(glm.pred, Direction)
## Direction
## glm.pred Down Up
## Down 145 141
## Up 457 507
(507+145)/1250
## [1] 0.5216
mean(glm.pred==Direction)
## [1] 0.5216
train=(Year<2005)
Smarket.2005=Smarket[!train, ]
dim(Smarket.2005)
## [1] 252 9
Direction.2005=Direction[!train]
glm.fit=glm(Direction~Lag1+Lag2+Lag3+Lag4+Lag5+Volume, data=Smarket,
family=binomial, subset=train)
glm.probs=predict(glm.fit, Smarket.2005, type="response")
glm.pred=rep("Down ", 252)
glm.pred[glm.probs>.5]="Up"
table(glm.pred, Direction.2005)
## Direction.2005
## glm.pred Down Up
## Down 77 97
## Up 34 44
mean(glm.pred==Direction.2005)
## [1] 0.1746032
mean(glm.pred!=Direction.2005)
## [1] 0.8253968
