[R] logistic regression model + Cross-Validation
Frank E Harrell Jr
f.harrell at vanderbilt.edu
Mon Jan 22 00:17:32 CET 2007
nitin jindal wrote:
> If validate.lrm does not has this option, do any other function has it.
> I will certainly look into your advice on cross validation. Thnx.
Not that I know of, but easy to program.
> On 1/21/07, Frank E Harrell Jr <f.harrell at vanderbilt.edu> wrote:
>> nitin jindal wrote:
>>> I am trying to cross-validate a logistic regression model.
>>> I am using logistic regression model (lrm) of package Design.
>>> f <- lrm( cy ~ x1 + x2, x=TRUE, y=TRUE)
>>> val <- validate.lrm(f, method="cross", B=5)
>> val <- validate(f, ...) # .lrm not needed
>>> My class cy has values 0 and 1.
>>> "val" variable will give me indicators like slope and AUC. But, I also
>>> the vector of predicted values of class variable "cy" for each record
>>> cross-validation, so that I can manually look at the results. So, is
>>> any way to get those probabilities assigned to each class.
>> No, validate.lrm does not have that option. Manually looking at the
>> results will not be easy when you do enough cross-validations. A single
>> 5-fold cross-validation does not provide accurate estimates. Either use
>> the bootstrap or repeat k-fold cross-validation between 20 and 50 times.
>> k is often 10 but the optimum value may not be 10. Code for averaging
>> repeated cross-validations is in
>> along with simulations of bootstrap vs. a few cross-validation methods
>> for binary logistic models.
>> Frank E Harrell Jr Professor and Chair School of Medicine
>> Department of Biostatistics Vanderbilt University
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