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R Statistical Application Development by Example Beginner's Guide by Prabhanjan Narayanachar Tattar

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Ridge regression for logistic regression models

We will not be able to go into the math of the ridge regression for the logistic regression model, though we will happily make good use of the logisticRidge function from the ridge package, to illustrate how to build the ridge regression for logistic regression model. For more details, we refer to the research paper of Cule and De Iorio (2012) available at http://arxiv.org/pdf/1205.0686.pdf. In the previous section, we saw that gasoline_rlm found more significant variables than gasoline_lm. Now, in Chapter 7, Logistic Regression Model, we fit a logistic regression model for the German credit data problem in GC_LR. The question that arises is if we obtain a ridge regression model of the related logistic ...

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