Google is your friend! -- as usual. If you had searched on "glm with regularization" you would have bumped into the glmnet R package, which I think is what you're looking for.
-- Bert On Wed, Feb 29, 2012 at 6:22 PM, Dmitriy Lyubimov <dlie...@gmail.com> wrote: > Hello, > > Thank you for probably not so new question, but i am new to R. > > Does any of packages have something like glm+regularization? So far i > see probably something close to that as a ridge regression in MASS but > I think i need something like GLM, in particular binomial regularized > versions of polynomial regression. > > Also I am not sure how some of the K-fold crossvalidation helpers out > there (cv.glm) could be used to adjust reg rate as there seems to be > no way to apply them over data not used for training (or i am not > seeing a solution here as training is completely separated from > crossvalidation error computation here) . > > The example here in cv.glm doesn't look right to me since it computes > cv error over model trained on 100% of data. (e.g. wikipedia > crossvalidation article lists this as an example of misuse of K-fold > CV). > > > ----- doc quote ---- > # leave-one-out and 6-fold cross-validation prediction error for > # the mammals data set. > data(mammals, package="MASS") > mammals.glm <- glm(log(brain)~log(body),data=mammals) > cv.err <- cv.glm(mammals,mammals.glm) > cv.err.6 <- cv.glm(mammals, mammals.glm, K=6) > ---- end of quote --- > > > Those seem to be pretty common techniques, any poniter in the right > direction (package) will be greatly appreciated. > > thank you very much. > -Dmitriy > > ______________________________________________ > R-help@r-project.org mailing list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. -- Bert Gunter Genentech Nonclinical Biostatistics Internal Contact Info: Phone: 467-7374 Website: http://pharmadevelopment.roche.com/index/pdb/pdb-functional-groups/pdb-biostatistics/pdb-ncb-home.htm ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
