Hi Frank, Thanks for your help!
I want to incorporate lift score as the optimization objective. How to do that in logistic regression? Thanks! On Fri, Jun 26, 2009 at 7:47 AM, Frank E Harrell Jr<f.harr...@vanderbilt.edu> wrote: > Michael wrote: >> >> Hi all, >> >> Is there a way to change the loss function in the logistic regression? >> Or we could provide a customized loss function in the logistic >> regression so we could use that loss function in the Cross Validation >> in logistic regression? >> >> Thanks a lot! > > The goal is to use a loss function that yields optimality, with a sensible > definition of optimality. For many purposes, maximum likelihood or > penalized maximum likelihood is optimum. So don't change the optimality > criteria just because you are cross-validating a different measure. > > By the way, it's often not a good idea to cross-validate a different > measure. At least the accuracy index should be information-preserving. > Deviance, log-likelihood, and AIC are your friends. > > Frank > > -- > Frank E Harrell Jr Professor and Chair School of Medicine > Department of Biostatistics Vanderbilt University > ______________________________________________ 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.
