Boosted Regression (Boosting): An introductory …

1 Schonlau M. Boosted Regression ( boosting ): an introductory tutorial and a stata plugin. The stata Journal, 5(3), 330-354. Boosted Regression ( boosting ): an introductory tutorial and a stata plugin Matthias Schonlau RAND Abstract boosting , or Boosted Regression , is a recent data mining technique that has shown considerable success in predictive accuracy. This article gives an overview over boosting and introduces a new stata command, boost, that implements the boosting algorithm described in Hastie et al. (2001, p. 322). The plugin is illustrated with a Gaussian and a logistic Regression example. In the Gaussian Regression example the R2 value computed on a test data set is R2= for linear Regression and R2= for boosting . In the logistic Regression example stepwise logistic Regression correctly classifies of the observations in a test data set versus for Boosted logistic Regression . Currently, boost accommodates Gaussian (normal), logistic, and Poisson Boosted Regression .

1 Schonlau M.Boosted Regression (Boosting): An introductory tutorial and a Stata plugin. The Stata Journal, 5(3), 330-354. Boosted Regression (Boosting): An introductory tutorial and a Stata

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