[R] best subset regression in R

[Bert Gunter]

On Wed, May 4, 2011 at 9:47 AM, FMH <kagba2006 at yahoo.com> wrote:
> Dear All,
>
> Could someone please give some advice the way to do linear modelling via best subset regression in R?...


Yes. Don't do it.

-- Bert

(Very Brief Explanation: Best subset regression was a questionable
approach to parsimonious modeling largely dictated by the
statistical/computing technology available in the 1960's and 70's. It
should by now be abandoned, buried, and forgotten. Use shrinkage
instead. LARS/LASSO (in the glmnet package) are among the
possibilities. Consult your local statistician for help (after making
sure he/she knows about such approaches, as not all do). Frank
Harrell's "Regresiion Modeling Strategies" is a useful starting point
to learn about this.



>
> Thanks,
> Kagba
>        [[alternative HTML version deleted]]
>
>
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-- 
"Men by nature long to get on to the ultimate truths, and will often
be impatient with elementary studies or fight shy of them. If it were
possible to reach the ultimate truths without the elementary studies
usually prefixed to them, these would not be preparatory studies but
superfluous diversions."

-- Maimonides (1135-1204)

Bert Gunter
Genentech Nonclinical Biostatistics