[R] Reduced Error Logistic Regression, and R?
s.blomberg1 at uq.edu.au
Thu Apr 26 07:15:59 CEST 2007
>From what I've read (which isn't much), the idea is to estimate a
utility (preference) function for discrete categories, using logistic
regression, under the assumption that the residuals of the linear
predictor of the utilities are ~ Type I Gumbel. This implies the
"independence of irrelevant alternatives" in economic jargon. ie the
utility of choice a versus choice b is independent of the introduction
of a third choice c. It also implies homoscedasticity of the errors. The
model can be generalized in various ways. If you are willing to
introduce extra parameters into the model, such as the parameters of the
Gumbel distribution, you may get more precision in the estimates of the
utility function. An alternative (without the independence of irrelevant
alternatives assumption) is to model the errors as multivariate normal
(ie use probit regression), which is computationally much more
Whether it makes substantive sense to use these models outside of
"discrete choice" experiments is another question.
Patenting these methods is worrying. There have been a lot of people
working on discrete choice experiments over the years. It's hard to
believe that a single company could have ownership over an idea that is
the result of a collaborative effort such as this.
On Thu, 2007-04-26 at 12:29 +1000, Tim Churches wrote:
> This news item in a data mining newsletter makes various claims for a technique called "Reduced Error Logistic Regression": http://www.kdnuggets.com/news/2007/n08/12i.html
> In brief, are these (ambitious) claims justified and if so, has this technique been implemented in R (or does anyone have any plans to do so)?
> Tim C
> R-help at stat.math.ethz.ch mailing list
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
Simon Blomberg, BSc (Hons), PhD, MAppStat.
Lecturer and Consultant Statistician
Faculty of Biological and Chemical Sciences
The University of Queensland
St. Lucia Queensland 4072
Room 320, Goddard Building (8)
T: +61 7 3365 2506
The combination of some data and an aching desire for
an answer does not ensure that a reasonable answer can
be extracted from a given body of data. - John Tukey.
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