[R] variable selection in logistic

[Max Kuhn]

>>  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.
>

The is also glmnet(), which can fit generalized linear models with L1
and L2 penalties.

Max