Re: [R] lars / lasso with glm

From: Thomas Lumley <tlumley_at_u.washington.edu>
Date: Wed 01 Jun 2005 - 00:37:52 EST

On Tue, 31 May 2005, Bliese, Paul D LTC USAMH wrote:

> We have been using Least Angle Regression (lars) to help identify
> predictors in models where the outcome is continuous. To do so we have
> been relying on the lars package. Theoretically, it should be possible
> to use the lars procedure within a general linear model (glm) framework
> - we are particular interested in a logistic regression model. Does
> anyone have examples of using lars with logistic regression?
>

I think the problem is that the nice efficient algorithm for lars doesn't work with generalized linear models because the weights depend on the fitted means.

         -thomas



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