[R] variable selection in logistic

[Ben Bolker]

David Winsemius wrote:
> 
> 
> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote:
> 
>> Hi, R users,
>>
>> What may be the best function in R to do variable selection in  
>> logistic
>> regression?
> 
> PhD theses, and books by famous statisticians have been pursuing the  
> answer to that question for decades.
> 
>> I have the same number of variables as the number of samples,
>> and I want to select the best variablesfor prediction. Is there any  
>> function
>> doing forward selection followed by backward elimination in stepwise
>> logistic regression?
> 
> You should probably be reading up on penalized regression methods. The  
> stepwise procedures reporting unadjusted "significance" made available  
> by SAS and SPSS to the unwary neophyte user have very poor statistical  
> properties.
> 
> --
> 
> David Winsemius, MD
> Heritage Laboratories
> West Hartford, CT
> 
> 

I would start with Frank Harrell's book: loads of practical, but rigorous,
advice.

@book{harrell_regression_2001,
	title = {Regression Modeling Strategies},
	isbn = {0387952322},
	publisher = {Springer},
	author = {Harrell, Frank},
	year = {2001}
}

"As many variables as samples" is particularly scary.
-- 
View this message in context: http://www.nabble.com/variable-selection-in-logistic-tp25268519p25268984.html
Sent from the R help mailing list archive at Nabble.com.