Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
In biostatistical practice, it is common to use information criteria as a guide for model selection. We propose new versions of the focused information criterion (FIC) for variable selection in logistic regression. The FIC gives, depending on the quantity to be estimated, possibly different sets of selected variables. The standard …