R-packages leaps and subselect implement various methods of selecting best or
good subsets of predictor variables for linear regression models, but they do
not seem to be applicable to logistic regression models.
Does anyone know of software for finding good subsets of predictor variables for
linear regression models?
Thanks.
-Ben
Why are these procedures still being used? The performance is known to be bad in almost every sense (see r-help archives).
Frank Harrell
p.s., The leaps package references "Subset Selection in Regression" by Alan
Miller. On page 2 of the
2nd edition of that text it states the following:
"All of the models which will be considered in this monograph will be linear;
that is they
will be linear in the regression coefficients.Though most of the ideas and
problems carry
over to the fitting of nonlinear models and generalized linear models
(particularly the fitting
of logistic relationships), the complexity is greatly increased."
--
Frank E Harrell Jr Professor and Chair School of Medicine
Department of Biostatistics Vanderbilt University______________________________________________ R-help@stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide! http://www.R-project.org/posting-guide.html
