Regularization Paths for Conditional Logistic Regression: The clogitL1 Package
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| Authors | Stephen James Reid, Rob Tibshirani |
| Journal/Conference Name | Journal of statistical software |
| Paper Category | Other |
| Paper Abstract | We apply the cyclic coordinate descent algorithm of Friedman, Hastie, and Tibshirani (2010) to the fitting of a conditional logistic regression model with lasso [Formula: see text] and elastic net penalties. The sequential strong rules of Tibshirani, Bien, Hastie, Friedman, Taylor, Simon, and Tibshirani (2012) are also used in the algorithm and it is shown that these offer a considerable speed up over the standard coordinate descent algorithm with warm starts. Once implemented, the algorithm is used in simulation studies to compare the variable selection and prediction performance of the conditional logistic regression model against that of its unconditional (standard) counterpart. We find that the conditional model performs admirably on datasets drawn from a suitable conditional distribution, outperforming its unconditional counterpart at variable selection. The conditional model is also fit to a small real world dataset, demonstrating how we obtain regularization paths for the parameters of the model and how we apply cross validation for this method where natural unconditional prediction rules are hard to come by. |
| Date of publication | 2014 |
| Code Programming Language | R |
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