Generalized Logistic Regression (appeared in Andrew Ng's Machine Language Couresea)

[k_shide]

Dear SAS Gurus,

I wantched recently Andrew Ng's Coursea class and found it very fun. I think  many of you found it very interesting.

My questions is Andrew introduced some generalized term of logistic regressions rather than some stepwise selection of variables as follows. 

Do you know this generalization can be achieved by using any options of proc logistic or any other suitable procedures?

Again, I really thanks to everyone for the help all the time,

Kaz

[StatDave · Accepted solution]

That looks like it is just an L2 penalty added to the binomial log likelihood resulting in a shrinkage estimation method called ridging. See this note which discusses ways to do shrinkage methods (LASSO, ridging, elastic net) in SAS.

[k_shide]

Dear StatDave

Thanks very much for the advice.
I think the note discuss exactly what I meant to know.

Kaz

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