Regularized (bridge) logistic regression for variable selection based on ROC criterion
Regularized (bridge) logistic regression for variable selection based on ROC criterion
It is well known that the bridge regression (with tuning parameter less or equal to 1) gives asymptotically unbiased estimates of the nonzero regression parameters while shrinking smaller regression parameters to zero to achieve variable selection.Despite advances in the last several decades in developing such regularized regression models, issues regarding …