Hi, Frank, You mean the backward and forward stepwise selection is bad? You also suggest the penalized logistic regression is the best choice? Is there any function to do it as well as selecting the best penalty?
Annie On Wed, Sep 2, 2009 at 7:41 PM, Frank E Harrell Jr <f.harr...@vanderbilt.edu > wrote: > David Winsemius wrote: > >> >> On Sep 2, 2009, at 9:36 PM, annie Zhang wrote: >> >> Hi, R users, >>> >>> What may be the best function in R to do variable selection in logistic >>> regression? >>> >> >> PhD theses, and books by famous statisticians have been pursuing the >> answer to that question for decades. >> >> I have the same number of variables as the number of samples, >>> and I want to select the best variablesfor prediction. Is there any >>> function >>> doing forward selection followed by backward elimination in stepwise >>> logistic regression? >>> >> >> You should probably be reading up on penalized regression methods. The >> stepwise procedures reporting unadjusted "significance" made available by >> SAS and SPSS to the unwary neophyte user have very poor statistical >> properties. >> >> -- >> >> David Winsemius, MD >> > > Amen to that. > > Annie, resist the temptation. These methods bite. > > Frank > > > Heritage Laboratories >> West Hartford, CT >> >> ______________________________________________ >> 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<http://www.r-project.org/posting-guide.html> >> and provide commented, minimal, self-contained, reproducible code. >> >> > > -- > Frank E Harrell Jr Professor and Chair School of Medicine > Department of Biostatistics Vanderbilt University > [[alternative HTML version deleted]] ______________________________________________ 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.
