[R] Discretize continous variables....

Frank E Harrell Jr f.harrell at vanderbilt.edu
Sat Jul 19 20:03:01 CEST 2008

Daniel Malter wrote:
> True. Thanks for the clarification. Is your conclusion from that that the
> findings in such case should only be interpreted in the specific context
> (with the awareness that it does not apply to changing contexts) or that
> such an approach should not be taken at all?

The latter, in general;  in specific cases the former.  But even then 
why condition on incomplete information when complete information is 
available?  I.e., why compute Pr(Y=1 | X>x) in place of Pr(Y=1 | X=x)?


> Frank E Harrell Jr wrote:
>> Daniel Malter wrote:
>>> This time I agree with Rolf Turner. This sounds like homework. Whether or
>>> not, type
>>> ?ifelse
>>> in the R-prompt.
>>> Frank is right, it leads to a loss in information. However, I think it
>>> remains interpretable. Further, it is common practice in certain fields,
>>> and
>> I have to disagree.  It is easy to show that odds ratios so obtained are 
>> functions of the entire distribution of the predictor in question.  Thus 
>> they do not estimate a scientific quantity (something that can be 
>> interpreted out of context).  For example if age is cut at 65 and one 
>> were to add to the sample several subjects aged 100, the >=65 : <65 odds 
>> ratio would change even if the age effect did not.
>>> it maybe a reasonable way to check whether mostly outliers in the X drive
>>> your results (although other approaches are available for that as well).
>>> The
>>> main underlying question however should be, do you have reason to expect
>>> that the response is different by the groups you create rather than in
>>> the
>>> numbers of the continuous variable. 
>> Regression splines can help.  Sometimes the splines are stated in terms 
>> of the cube root of the predictor to avoid excess influence.
>> Frank
>>> Regarding question 2: I thought you mean that you want to reduce the
>>> number
>>> of levels (say 4) to a smaller number of levels (say 2) for one of your
>>> independent variables (i.e. one of the Xs), not Y. This makes sense only,
>>> if
>>> there is any good conceptual reason to group these categories - not just
>>> to
>>> get significance.
>>> Best,
>>> Daniel
>>> Frank E Harrell Jr wrote:
>>>> milicic.marko wrote:
>>>>> Hi R helpers,
>>>>> I'm preparing dataset to fir logistic regression model with lrm(). I
>>>>> have various cointinous and discrete variables and I would like to:
>>>>> 1. Optimaly discretize continous variables (Optimaly means, maximizing
>>>>> information value - IV for example)
>>>> This will result in effects in the model that cannot be interpreted and 
>>>> will ruin the statistical inference from the lrm.  It will also hurt 
>>>> predictive discrimination.  You seem to be allergic to continuous
>>>> variables.
>>>>> 2. Regroup discrete variables to achieve perhaps smaller number of
>>>>> level and better information value...
>>>> If you use the Y variable to do this the same problems will result. 
>>>> Shrinkage is a better approach, or using marginal frequencies to combine 
>>>> levels.  See the "pre-specification of complexity" strategy in my book 
>>>> Regression Modeling Strategies.
>>>> Frank
>>>>> Please suggest if there is some package providing this or same
>>>>> functionality for discretization...
>>>>> if there is no package plese suggest how to achieve this.
>>   --

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