[R] Logistic ridge regression ...
Adrian.Trapletti at wu-wien.ac.at
Tue Mar 28 13:52:55 CEST 2000
John Logsdon wrote:
> I have some data (v. large amount) with a (0,1) response where I want to
> minimise the errors in the betas rather than SS or deviance.
> So can anyone point me to a ridge regression function or equivalent for
> such a logistic regression case?
I think you can do that with the nnet code of Brian Ripley. Use the softmax
setting and the weight decay regularizer, which is the same as using a ridge
penalty term, isn't it?
Adrian Trapletti, Vienna University of Economics and Business Ad-
ministration, Operations Research, Augasse 2-6, 1090 Vienna, Austria
Phone: ++43-(0)1-31336-4561 Email: adrian.trapletti at wu-wien.ac.at
Fax: ++43-(0)1-31336-708 WWW: http://quor.wu-wien.ac.at/adrian.html
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