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

Sujuan Gao and Jianzhao Shen

Statistics & Probability Letters, 2007, vol. 77, issue 9, 925-930

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.

Keywords: Logistic; regression; Maximum; likelihood; Penalized; maximum; likelihood; Ridge; regression (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (10)

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