RE: [R] lars / lasso with glm

From: Liaw, Andy <andy_liaw_at_merck.com>
Date: Wed 01 Jun 2005 - 00:52:00 EST


> From: Thomas Lumley
>
> 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

Jerry Friedman's PathSeeker is similar to LAR, and can do (2-class) classification, using a different loss function. See his web site for tech report and software.

Andy



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