Jeffreys-prior penalty, finiteness and shrinkage in binomial-response generalized linear models

Ioannis Kosmidis and David Firth

Biometrika, 2021, vol. 108, issue 1, 71-82

Abstract: SummaryPenalization of the likelihood by Jeffreys’ invariant prior, or a positive power thereof, is shown to produce finite-valued maximum penalized likelihood estimates in a broad class of binomial generalized linear models. The class of models includes logistic regression, where the Jeffreys-prior penalty is known additionally to reduce the asymptotic bias of the maximum likelihood estimator, and models with other commonly used link functions, such as probit and log-log. Shrinkage towards equiprobability across observations, relative to the maximum likelihood estimator, is established theoretically and studied through illustrative examples. Some implications of finiteness and shrinkage for inference are discussed, particularly when inference is based on Wald-type procedures. A widely applicable procedure is developed for computation of maximum penalized likelihood estimates, by using repeated maximum likelihood fits with iteratively adjusted binomial responses and totals. These theoretical results and methods underpin the increasingly widespread use of reduced-bias and similarly penalized binomial regression models in many applied fields.

Keywords: Bias reduction; Bradley–Terry model; Data separation; Infinite estimate; Logit link; Penalized likelihood; Probit link; Working weight (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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