[R] Design Package - Penalized Logistic Reg. - Query

[Frank E Harrell Jr]

Lars Bishop wrote:
> Dear R experts,
> 
> The lrm function in the Design package can perform penalized (Ridge)
> logistic regression. It is my understanding that the ridge solutions are not
> equivalent under scaling of the inputs, so one normally standardizes the
> inputs. Do you know if input standardization is done internally in lrm or I
> would have to do it prior to applying this function.

It's done internally, as buried in the documentation somewhere. 
Actually lrm puts the scaling factors (standard deviations for 
continuous variables) into the penalty matrix.

Frank

> 
> Also, as I'm new in R (coming from SAS) I don't know how well R will handle
> relatively large data sets (e.g. 1/2 million observations on 40 variables).
> 
> I'll appreciate your comments.
> 
> Many thanks in advance.
> 
> Lars/
> 
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> 
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-- 
Frank E Harrell Jr   Professor and Chair           School of Medicine
                      Department of Biostatistics   Vanderbilt University