lars / lasso with glm
On Tue, 31 May 2005, Bliese, Paul D LTC USAMH wrote:
We have been using Least Angle Regression (lars) to help identify predictors in models where the outcome is continuous. To do so we have been relying on the lars package. Theoretically, it should be possible to use the lars procedure within a general linear model (glm) framework - we are particular interested in a logistic regression model. Does anyone have examples of using lars with logistic regression?
I think the problem is that the nice efficient algorithm for lars doesn't work with generalized linear models because the weights depend on the fitted means. -thomas