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? Thanks, PB [[alternative HTML version deleted]]
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
> 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. > > -thomasJerry 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
please check the library lasso2. On 5/31/05, Bliese, Paul D LTC USAMH <paul.bliese at us.army.mil> 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? > > > > Thanks, > > > > PB > > > > > [[alternative HTML version deleted]] > > ______________________________________________ > R-help at 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 >-- WenSui Liu, MS MA Senior Decision Support Analyst Division of Health Policy and Clinical Effectiveness Cincinnati Children Hospital Medical Center