[R] subset selection for logistic regression

[dr mike]

> -----Original Message-----
> From: r-help-bounces at stat.math.ethz.ch 
> [mailto:r-help-bounces at stat.math.ethz.ch] On Behalf Of Wittner, Ben
> Sent: 02 March 2005 11:33
> To: r-help at lists.R-project.org
> Subject: [R] subset selection for logistic regression
> 
> R-packages leaps and subselect implement various methods of 
> selecting best or good subsets of predictor variables for 
> linear regression models, but they do not seem to be 
> applicable to logistic regression models.
>  
> Does anyone know of software for finding good subsets of 
> predictor variables for linear regression models?
>  
> Thanks.
>  
> -Ben
>  
> p.s., The leaps package references "Subset Selection in 
> Regression" by Alan Miller. On page 2 of the 2nd edition of 
> that text it states the following:
>  
>   "All of the models which will be considered in this 
> monograph will be linear; that is they
>    will be linear in the regression coefficients.Though most 
> of the ideas and problems carry
>    over to the fitting of nonlinear models and generalized 
> linear models (particularly the fitting
>    of logistic relationships), the complexity is greatly increased."
> 
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The LASSO method and the Least Angle Regression method are two such that
have both been implemented (efficiently IMHO - only one least squares for
all levels of shrinkage IIRC) in the lars package for R of Hastie and Efron.
There is a paper by Madigan and Ridgeway that discusses the use of the Least
Angle Regresson approach in the context of logistic regression - available
for download from Madigan's space at Ruttgers: 
www.stat.rutgers.edu/~madigan/PAPERS/lars3.pdf 

HTH

Mike