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Asymptotic properties of a double penalized maximum likelihood estimator in logistic regression

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  • Gao, Sujuan
  • Shen, Jianzhao

Abstract

Maximum likelihood estimates in logistic regression may encounter serious bias or even non-existence with many covariates or with highly correlated covariates. In this paper, we show that a double penalized maximum likelihood estimator is asymptotically consistent in large samples.

Suggested Citation

  • Gao, Sujuan & Shen, Jianzhao, 2007. "Asymptotic properties of a double penalized maximum likelihood estimator in logistic regression," Statistics & Probability Letters, Elsevier, vol. 77(9), pages 925-930, May.
    • Handle: RePEc:eee:stapro:v:77:y:2007:i:9:p:925-930
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    References listed on IDEAS

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    1. Bull, Shelley B. & Mak, Carmen & Greenwood, Celia M. T., 2002. "A modified score function estimator for multinomial logistic regression in small samples," Computational Statistics & Data Analysis, Elsevier, vol. 39(1), pages 57-74, March.
    2. S. le Cessie & J. C. van Houwelingen, 1992. "Ridge Estimators in Logistic Regression," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 41(1), pages 191-201, March.
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