[R] variable selection in logistic
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Thu Sep 3 06:06:49 CEST 2009
annie Zhang wrote:
> Hi, Frank,
>
> You mean the backward and forward stepwise selection is bad? You also
> suggest the penalized logistic regression is the best choice? Is there
> any function to do it as well as selecting the best penalty?
>
> Annie
All variable selection is bad unless its in the context of penalization.
You'll need penalized logistic regression not necessarily with
variable selection, for example a quadratic penalty as in a case study
in my book, or an L1 penalty (lasso) using other packages.
Frank
>
> On Wed, Sep 2, 2009 at 7:41 PM, Frank E Harrell Jr
> <f.harrell at vanderbilt.edu <mailto:f.harrell at vanderbilt.edu>> wrote:
>
> 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
>
>
> Amen to that.
>
> Annie, resist the temptation. These methods bite.
>
> Frank
>
>
> Heritage Laboratories
> West Hartford, CT
>
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>
> --
> Frank E Harrell Jr Professor and Chair School of Medicine
> Department of Biostatistics Vanderbilt University
>
>
--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University
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