[R] Implementing Jeffreys Invariant Prior to GLM
Prof Brian Ripley
ripley at stats.ox.ac.uk
Mon Aug 30 14:43:33 CEST 2004
On Mon, 30 Aug 2004, Martin Plöderl wrote:
> In logistic regression I have a rare event as the dependent variable,
> i.e. the "successes" appear with a frequency of ca. 3%.
> In a Paper by King & Zeng "Logistic Regression in Rare Events Data"
> (http://gking.harvard.edu/stats.shtml )
> a prior-correction method and/or a weighting procedure is suggested to
> reduce the bias resulting from such analysis.
Bias of what?
This is hardly news and is in all good books on classification, for example.
> The authors state that using Jeffreys invariant prior also works.
> Does anybody know who to implement this in R?
Take a look at package brlr (`who' being David Firth) for one approach.
Brian D. Ripley, ripley at stats.ox.ac.uk
Professor of Applied Statistics, http://www.stats.ox.ac.uk/~ripley/
University of Oxford, Tel: +44 1865 272861 (self)
1 South Parks Road, +44 1865 272866 (PA)
Oxford OX1 3TG, UK Fax: +44 1865 272595
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