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
> Heritage Laboratories
> West Hartford, CT
>
>
I would start with Frank Harrell's book: loads of practical, but rigorous,
advice.
@book{harrell_regression_2001,
title = {Regression Modeling Strategies},
isbn = {0387952322},
publisher = {Springer},
author = {Harrell, Frank},
year = {2001}
}
"As many variables as samples" is particularly scary.
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