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I try to find a model using logistic regression. More precisely, what I did so far, is using stepwise regression and subset selection (although I know, it is often a bad idea) to find the "best" model. Clearly, depending on the information criteria I used, I got different results.

Now, I found an interesting example on page 250 in the book "An Introduction to Statistical Learning". They chose among the models of different sizes using cross-validation, that is they make predictions for each model and compute the test errors. Eventually, the compute the cross validation error and choose the model corresponding to the minimal average cross-validation error.

However, the function regsubsets of the R package "leaps" is only working for linear models. How can I implement this for logistic regression or glm models in general?

My idea was, to just estimate the models within a cross-validation using the step function of the "stats" package and then kind of take the average number of features (which is determined by minimum AIC, for example). Is this a legitimate approach?

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  • $\begingroup$ You may want to take a look at older posts on feature-selection for additional insight. $\endgroup$ Dec 9, 2015 at 8:30

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I would recommend moving on one more page, to page 251 of ISLR, and using ridge regression as illustrated there instead to get your "best" model.

If you repeat a search for the "best" variable-selection model on multiple bootstrap samples of the same data set, even with identical criteria for the "information criterion," you will almost certainly get a surprisingly large collection of "best" models. Try it on your data and see. So which one is really "best"? Will any generalize well? How will you correct for the bias introduced by looking for the "best" predictors in a particular data sample?

Unless you have a compelling need to minimize the number of predictor variables, ridge regression will give you an appropriately penalized model with a penalty chosen by cross-validation. Unlike variable-selection approaches, ridge regression handles collinearity among predictor variables well; it is likely to generalize well and the ridge coefficients should vary relatively little among bootstrap samples. If your interest is in prediction then the retention of all variables by ridge regression is likely to provide better performance than any variable-selection model. The glmnet package used in the exercise starting on page 251 includes facilities for ridge regression on generalized linear models, including logistic regression if you use the setting family = "binomial".

If you have a compelling need to cut down on predictor variables you can tweak the glmnet parameters to perform LASSO or the hybrid elastic net. The choice of penalty (and thus the number of variables) can be determined by cross-validation. As with any variable-elimination technique, however, there will still be some arbitrary selection among individual collinear predictors in models developed those ways.

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  • $\begingroup$ Thank you for the inputs. I will definitely consider them. However, since I have to consider logistic regression for a project, I really need to it this way. But, I will definitely look into your suggestions! $\endgroup$ Dec 8, 2015 at 23:27
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    $\begingroup$ glmnet works fine with logistic regression. $\endgroup$
    – EdM
    Dec 9, 2015 at 0:37
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Many packages provide cross validation directly. However, since you seem to be learning the principles, why not roll your own. For example like this

Divide the data into K, lets say 10, chunks. 
Round 1: Designate chunk 1 as test data, the other 9 as training data.
Build your model on the training data, test it on the test data.
Store the testing error. 

Round 2: Designate chunk 2 as test data, the other 9 as training data. 
...

And so on.

After 10 iterations, you have 10 error scores, one for each round. Average those and you have cross-validated your model. Once you have done that for many models, choose one and retrain it on the entire data set. That is then your final model.

Which error score to use? You say it's a logistic regression, is it a binary classifier? Are the two potential mis-classifications equally critical? If so, why not simply use hit-ratio? It does the job and importantly communicates well. If you have other problems, then other error functions might suit you better. AIC / BIC are well understood in the statistical community and are fine to use as well, but communicates less well to people outside the profession. You know your problem and your audience, keep both in mind.

With regards to penalized regression, which I didn't bring to mind as your question indicates you're learning CV, but @Edm is right in pointing them out. Here are some decent slides. http://statweb.stanford.edu/~tibs/sta305files/Rudyregularization.pdf

Understanding the difference of the L1 and L2 norm will help you grasp why Lasso (L1) might be better suited for model selection that Ridge (L2).

Good luck!

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  • $\begingroup$ First, thank you so much for the great comment and your inputs. I'm pretty new to Cross Validation. So you mean, I could calculate in each round the hit-ratio and then pick the model having the minimum hit-ratio in the end? $\endgroup$ Dec 8, 2015 at 23:26
  • $\begingroup$ In essence, yes. Learning CV is as much learning about sampling into training and test sets, but its really not that complicated. Btw, use the max hit ratio :-) $\endgroup$
    – Jon Egil
    Dec 9, 2015 at 7:49
  • $\begingroup$ Oh - yes. Of course, max hit-ratio :-) If you don't mind, I still have one question. If I would split my data set into let's say 80/20 and then apply cross-validation only on the 80% to select my final model and eventually evaluate performance on the test set (20%). How would you proceed here? Is it really legitimate to take the model having the highest hit-ratio (of let's say 10 different models if 10-fold CV). Because if I take the average accuracy, which model do I choose then? I hope you understand what I mean... $\endgroup$ Dec 9, 2015 at 12:08
  • $\begingroup$ Got it. You want to put 20% of the data in the safe, never touch it in phase 1, then build and CV on the first 80%. After CV is done you are left with one and only one model. This you calibrate on the whole 80%. Now phase 2. Open the safe, take out the 20% you had there, an run the model on those. FINISHED. Never ever go back to phase 1 and tweak the model. Entering phase 2 is a point of no return. You must not fall for the temptation to improve the model after testing on the last 20% is done. Process and discipline is important. $\endgroup$
    – Jon Egil
    Dec 9, 2015 at 13:55
  • $\begingroup$ Exactly. But how would you do it then? Since, if I average over let's say all hit-rates, there is no model belonging to it which I can apply to the final test set. Do you see my issue or do I miss something. It's not clear to me how I would select the "best" model within cross validation. Thank you very much for your effort here! $\endgroup$ Dec 9, 2015 at 14:22

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