Thanks, Jay, for your interesting discussion. Right
now, I use the "pentrace" function from Frank
Harrell's Design library (in Splus/R) to find the
optimal penalty factor by tracing effective AIC for a
grid of penalties. From there, implementing PMLE in
Splus/R is reasonably easy but I prefer working in
Stata whenever possible.
Scott Millis
--- "Verkuilen, Jay" <[email protected]> wrote:
> The trick is, of course, finding the right
> penalties, which is why the
> Bayesian approach is so useful.
Scott R Millis, PhD, MEd, ABPP (CN,CL,RP), CStat
Professor & Director of Research
Dept of Physical Medicine & Rehabilitation
Wayne State University School of Medicine
261 Mack Blvd
Detroit, MI 48201
Email: [email protected]
Tel: 313-993-8085
Fax: 313-966-7682
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
