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`grpreg` loss function inconsistency in Models vignette

Open SzymonNowakowski opened this issue 2 years ago • 0 comments

Models vignette defines loss function $L(\beta|X,y)$ in the beginning as the deviance (−2 times the log-likelihood). Later, in Gaussian (linear regression) section there is a conflicting definition $L(\beta|X,y) = \frac{1}{2}||y-X\beta||^2$. I believe that either 2 or $\frac{1}{2}$ should be removed.

I have compared the output of grpreg and glmnet and they are the same, so looking at glmnet objective function for Gaussian families I believe the second definition is correct and the factor of 2 should be removed from the opening paragraph: instead of the deviance (−2 times the log-likelihood) it should read: the deviance (minus log-likelihood).

SzymonNowakowski avatar Jun 07 '22 20:06 SzymonNowakowski