Let's try to bring this discussion back again.... after Frank made very funny remark!
What I'm doing at the moment is: 1. I split dataset in two (development and holdout) 2. I fit single predictor logistic model for every variable and collect following stats: DMaxDeriv=modelD$stats[2] DModelLR=modelD$stats[3] DP=modelD$stats[5] DC=modelD$stats[6] DDxy=modelD$stats[7] DGamma=modelD$stats[8] DTau=modelD$stats[9] DR2=modelD$stats[10] DBier=modelD$stats[11] HMaxDeriv=modelH$stats[2] HModelLR=modelH$stats[3] HP=modelH$stats[5] HC=modelH$stats[6] HDxy=modelH$stats[7] HGamma=modelH$stats[8] HTau=modelH$stats[9] HR2=modelH$stats[10] HBier=modelH$stats[11] where D is prefix for stats on development sample and H is prefix for stats derived from hold out sample 3. Now I screen factor with sommers d grather than 0.3 and relative change on hold out sample is smaller than 5% Any comments are very welcomed.... On Oct 14, 2:48 pm, John Kane <[EMAIL PROTECTED]> wrote: > --- On Mon, 10/13/08, David Scott <[EMAIL PROTECTED]> wrote: > > > > > From: David Scott <[EMAIL PROTECTED]> > > Subject: Re: [R] Variable shortlisting for the logistic regression > > To: "Frank E Harrell Jr" <[EMAIL PROTECTED]> > > Cc: [EMAIL PROTECTED] > > Received: Monday, October 13, 2008, 6:32 PM > > On Mon, 13 Oct 2008, Frank E Harrell Jr wrote: > > > > useR wrote: > > >> Hi R helpers, > > > >> One rather statistical question? > > > >> What would be the best startegy to shortlist > > thousands of continous > > >> variables automaticaly using R.... > > >> as the preparation for logistic regression > > modleing! > > > >> Thanks > > > > The easiest approach is to use a random number > > generator. > > > Frank > > > Got a laugh from me Frank! > > > Can I nominate it for a fortune? > > > David > > Seconded. > > __________________________________________________________________ > [[elided Yahoo spam]] > > ______________________________________________ > [EMAIL PROTECTED] mailing listhttps://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guidehttp://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.