Logistic Regression

Logistic regression is a techique for predicting a Bernoulli (i.e., 0,1-valued) random variable from a set of continuous dependent variables. See the Wikipedia article on Logistic regression for a simple description. Another generalized logistic model that can be used for this purpose is the Probit_Regression model. These differ in functional form, with the logistic regression using a logit function to link the linear predictor to the predicted probability, while the probit model uses a cumulative normal for the same.

Logistic_Regression( Y,B,I,K )

(Requires Analytica Optimizer)

The Logistic_regression function returns the best-fit coefficients, c, for a model of the form [math]\displaystyle{ logit(p_i) = ln\left( {{p_i}\over{1-p_i}} \right) = \sum_k c_k B_{i,k} }[/math] given a data set basis B, with each sample classified as y_i, having a classification of 0 or 1.

The syntax is the same as for the Regression function. The basis may be of a generalized linear form, that is, each term in the basis may be an arbitrary non-linear function of your data; however, the logit of the prediction is a linear combination of these.

Once you have used the Logistic_Regression function to compute the coefficients for your model, the predictive model that results returns the probability that a given data point is classified as 1.

Library

Generalized Regression.ana

Example

Suppose you want to predict the probability that a particular treatment for diabetes is effective given several lab test results. Data is collected for patients who have undergone the treatment, as follows, where the variable Test_results contains lab test data and Treatment_effective is set to 0 or 1 depending on whether the treatment was effective or not for that patient:

Using the data directly as the regression basis, the logistic regression coefficients are computed using:

 Variable c := Logistic_regression( Treatment_effective, Test_results, Patient_ID, Lab_test )

We can obtain the predicted probability for each patient in this testing set using:

 Variable Prob_Effective := InvLogit( Sum( c*Test_results, Lab_Test ))

If we have lab tests for a new patient, say New_Patient_Tests, in the form of a vector indexed by Lab_Test, we can predict the probability that treatment will be effective using:

 InvLogit( Sum( c*New_patient_tests, Lab_test ) )

See Also

• Probit_Regression
• Regression, RegressionDist : When Y is continuous, with normally-distributed error
• Poisson_Regression : When Y models a count (number of events that occur)