[R] lars / lasso with glm

[Thomas Lumley]

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