Boosted regression (boosting): An introductory tutorial and a Stata plugin

Boosting, or boosted regression, is a recent data-mining technique that has shown considerable success in predictive accuracy. This article gives an overview of boosting and introduces a new Stata command, boost, that implements the boosting algorithm described in Hastie, Tibshirani, and Friedman (2001, 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 dataset is R2 = 21.3% for linear regression and R2 = 93.8% for boosting. In the logistic regression example, stepwise logistic regression correctly classifies 54.1% of the observations in a test dataset versus 76.0% for boosted logistic regression. Currently, boost accommodates Gaussian (normal), logistic, and Poisson boosted regression. boost is implemented as a Windows C++ plugin.

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Journal Article
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st0087 (Other)
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Stata Journal, Volume 05, Number 3
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 Record created 2017-04-01, last modified 2018-01-22

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