[R] stepwise selection for conditional logistic regression

[Steve Lianoglou]

Also, when you're doing reading through David's suggestions:

On Fri, Feb 17, 2012 at 10:41 AM, David Winsemius
<dwinsemius at comcast.net> wrote:
[snip]
> Stepwise procedures are supported somewhat grudgingly on r-help. You ought
> to read some of the critical comments about stepwise procedures in the
> Archives:
>
> http://search.r-project.org/cgi-bin/namazu.cgi?query=stepwise+significance&max=100&result=normal&sort=score&idxname=functions&idxname=Rhelp08&idxname=Rhelp10&idxname=Rhelp02
>
> Another search strategy might be "stepwise Harrell".

Just keep in the back of your mind somewhere that the glmnet library
can fit "GLMs via penalized maximum likelihood [and] ... Fits linear,
logistic and multinomial, poisson, and Cox regression models" (taken
from `?glmnet`) over a grid of lambda params for you.

HTH,
-steve

-- 
Steve Lianoglou
Graduate Student: Computational Systems Biology
 | Memorial Sloan-Kettering Cancer Center
 | Weill Medical College of Cornell University
Contact Info: http://cbio.mskcc.org/~lianos/contact