Jul
9
awarded  Notable Question
2018
Aug
24
comment Does Regularized Logistic Regression Produce Calibrated Results?
Could you please write your answer as a solution so I could accept it? thank you!
Aug
24
comment Does Regularized Logistic Regression Produce Calibrated Results?
@FrankHarrell thank you for a completed answer, but I think Alex is right here, check his comments under my question. But thanks a lot for the explanation.
Aug
24
comment Does Regularized Logistic Regression Produce Calibrated Results?
@RossGayler I think Alex's answer was more helpful. It seems it does not depend on the regularization; if you do not penalize the intercept (which is common) it still remains calibrated.
Aug
24
comment Does Regularized Logistic Regression Produce Calibrated Results?
Oh I am totally sorry. I get it now. Fair enough! That solves the issue :)
Aug
24
comment Does Regularized Logistic Regression Produce Calibrated Results?
@Alex, thanks for your input. Cardinl's reasoning in my humble opinion does not follows since after taking derivates there will be an extra term of $+\lambda \beta_i$ in the equations instead of zero on the other side. In other words the regularization factor of. $\lambda \|\beta\|^2$ will not cancel when taking derivatives.
Aug
21
comment Does Regularized Logistic Regression Produce Calibrated Results?
@RossGayler thank you for sharing the sentiment. I was confused. I can see that the proof does not follow so it is not surprising. But it is surprising that there is nothing written about it out there.
Aug
20
comment Does Regularized Logistic Regression Produce Calibrated Results?
Thank you. But I am not sure if I understand the connection of your answer to calibration. No matter how the regularization coefficient is chosen eventually we end up with a learned model based on optimization. The question is whether that model is calibrated meaning that $\hat{p}(y=1)\approx p(y=1)$.
Aug
20
asked Does Regularized Logistic Regression Produce Calibrated Results?
May
30
awarded  Nice Question
May
29
awarded  Popular Question
Apr
19
awarded  Yearling
Mar
19
awarded  Famous Question
Feb
5
comment Expectation of Multidimensional Function of Random Variables w.r.t. Marginal Distribution
Thank you for your reply. I am very confused. What I am wondering is that either $\int f(X,Y)dP(y)$ is well-defined or not. And if not, why not? I guess I am having a conversation on math.stackexchange but thanks a lot.
Feb
4
revised Expectation of Multidimensional Function of Random Variables w.r.t. Marginal Distribution
added 44 characters in body
Feb
4
asked Expectation of Multidimensional Function of Random Variables w.r.t. Marginal Distribution
2017
Apr
30
awarded  Nice Question
Apr
3
comment Kullback-Leibler Divergence
just wanted to remind that you never came back :P
Feb
16
awarded  Notable Question
Feb
15
awarded  Popular Question