RE: [R] subset selection for logistic regression

From: dr mike <dr.mike_at_ntlworld.com>
Date: Thu 03 Mar 2005 - 01:17:16 EST

 

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch] On Behalf Of Wittner, Ben
> Sent: 02 March 2005 11:33
> To: r-help@lists.R-project.org
> Subject: [R] subset selection for logistic regression
>
> R-packages leaps and subselect implement various methods of
> selecting best or good subsets of predictor variables for
> linear regression models, but they do not seem to be
> applicable to logistic regression models.
>
> Does anyone know of software for finding good subsets of
> predictor variables for linear regression models?
>
> Thanks.
>
> -Ben
>
> p.s., The leaps package references "Subset Selection in
> Regression" by Alan Miller. On page 2 of the 2nd edition of
> that text it states the following:
>
> "All of the models which will be considered in this
> monograph will be linear; that is they
> will be linear in the regression coefficients.Though most
> of the ideas and problems carry
> over to the fitting of nonlinear models and generalized
> linear models (particularly the fitting
> of logistic relationships), the complexity is greatly increased."
>
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The LASSO method and the Least Angle Regression method are two such that have both been implemented (efficiently IMHO - only one least squares for all levels of shrinkage IIRC) in the lars package for R of Hastie and Efron. There is a paper by Madigan and Ridgeway that discusses the use of the Least Angle Regresson approach in the context of logistic regression - available for download from Madigan's space at Ruttgers: www.stat.rutgers.edu/~madigan/PAPERS/lars3.pdf

HTH Mike



R-help@stat.math.ethz.ch mailing list
https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html Received on Thu Mar 03 01:46:18 2005

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