Weighted logistic regression in Python
I'm looking for a good implementation for logistic regression (not regularized) in Python. I'm looking for a package that can also get weights for each vector. Can anyone suggest a good implementation / package? Thanks!
Answer
I notice that this question is quite old now but hopefully this can help someone. With sklearn, you can use the SGDClassifier class to create a logistic regression model by simply passing in 'log' as the loss:
sklearn.linear_model.SGDClassifier(loss='log', ...).
This class implements weighted samples in the fit() function:
classifier.fit(X, Y, sample_weight=weights)
where weights is a an array containing the sample weights that must be (obviously) the same length as the number of data points in X.
See http://scikit-learn.org/dev/modules/generated/sklearn.linear_model.SGDClassifier.html for full documentation.