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OHDSI / PatientLevelPrediction

An R package for performing patient level prediction in an observational database in the OMOP Common Data Model.
https://ohdsi.github.io/PatientLevelPrediction
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Group shinkage (e.g. group lasso) during variable selection #24

Open pancodia opened 7 years ago

pancodia commented 7 years ago

Does a prediction model with variable selection procedure (e.g. lasso regression) consider group shinkage (e.g. group lasso)? For example, if a categorical variable with C levels is converted to C-1 binary features (i.e. dummy variables), it would make more sense that all C-1 variables are kept or removed after variable selection.

jreps commented 6 years ago

The current lasso logistic regression we use has group lasso but it is still being tested. Hopefully it will be added this year.