[R] Logistic ridge regression ...

[Adrian Trapletti]

John Logsdon wrote:

> Hi
>
> 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?

John,

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


--
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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