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Firth‘s penalization for logistic regression for rare events
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FredrikLAa
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Nov 27, 2022, 8:12:18 AM
11/27/22
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Hi,
Is it possible to obtain the Firth's penalized regression in INLA, where
the log likelihood is given by:
L(Beta)det(X'WX)^0.5,
where W=diag(pi_i(1-pi_i))
see e.g slide 10 in
https://www.eio.upc.edu/ca/seminari/docs/georg-heinze-logistics-regression-with-rare-events-problems-and-solutions.pdf
I have a situation where there are very few "positive" cases, 320 out of 42 000
Any alternatives to Firth's penalized regression that are implemented in INLA?
Best
Fredrik
Helpdesk (Haavard Rue)
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Nov 28, 2022, 5:30:59 AM
11/28/22
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in short, no. should be easy to do this through some other packages
though
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