[R] changing the loss function in the logistic regression?

[Frank E Harrell Jr]

Michael wrote:
> Hi all,
> 
> Is there a way to change the loss function in the logistic regression?
> Or we could provide a customized loss function in the logistic
> regression so we could use that loss function in the Cross Validation
> in logistic regression?
> 
> Thanks a lot!

The goal is to use a loss function that yields optimality, with a 
sensible definition of optimality.  For many purposes, maximum 
likelihood or penalized maximum likelihood is optimum.  So don't change 
the optimality criteria just because you are cross-validating a 
different measure.

By the way, it's often not a good idea to cross-validate a different 
measure.  At least the accuracy index should be information-preserving. 
  Deviance, log-likelihood, and AIC are your friends.

Frank

-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University