[R] lars / lasso with glm

Thomas Lumley tlumley at u.washington.edu
Tue May 31 16:37:52 CEST 2005

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.


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