A New Algorithm in Maximum Likelihood Estimation for Generalized Linear Models


  •  Yufang Wen    
  •  Xiangdong Song    
  •  Haisen Zhang    

Abstract

We intrduce a new algorithm for  regularized generalized linear models. The  regularization procedure is useful,especially because it ,in effect,selects variables according to the amount of penalization on the  norm of the coefficients,in a manner less greedy than forward selection/backward deletion. The algorithm efficiently computes solutions along the entire regularization path using the predictor-corrector method of convex-optimization. Selecting the step length of the regularization parameter is critical in controlling the overall accuracy of the paths; we suggest intuitive and flexible strategies for choosing appropriate values.



This work is licensed under a Creative Commons Attribution 4.0 License.
  • ISSN(Print): 1913-1844
  • ISSN(Online): 1913-1852
  • Started: 2007
  • Frequency: monthly

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