John Lees johnlees
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| #!/usr/bin/env python | |
| '''Python implementation of Firth regression by John Lees | |
| See https://www.ncbi.nlm.nih.gov/pubmed/12758140''' | |
| def firth_likelihood(beta, logit): | |
| return -(logit.loglike(beta) + 0.5*np.log(np.linalg.det(-logit.hessian(beta)))) | |
| # Do firth regression | |
| # Note information = -hessian, for some reason available but not implemented in statsmodels | |
| def fit_firth(y, X, start_vec=None, step_limit=1000, convergence_limit=0.0001): |