Iterative algorithms of biased estimation methods in binary logistic regression

M. Revan Özkale ()
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M. Revan Özkale: Çukurova University

Statistical Papers, 2016, vol. 57, issue 4, No 9, 1016 pages

Abstract: Abstract Logistic regression is a widely used method to model categorical response data, and maximum likelihood (ML) estimation has widespread use in logistic regression. Although ML method is the most used method to estimate the regression coefficients in logistic regression model, multicollinearity seriously affects the ML estimator. To remedy the undesirable effects of multicollinearity, estimators alternative to ML are proposed. Drawing on the similarities between the multiple linear and logistic regressions, ridge, Liu and two parameter estimators are proposed which are based on the ML estimator. On the other hand, first-order approximated ridge estimator is proposed for use in logistic regression. This study will present further solutions to the problem in the form of alternative estimators which reduce the effect of collinearity. Owing to this, first-order approximated Liu, iterative Liu and iterative two parameter estimators are proposed. A simulation study as well as real life application are carried out to ascertain the effect of sample size and degree of multicollinearity, in which the ML based, first-order approximated and iterative biased estimators are compared. Graphical representations are presented which support the effect of the shrinkage parameter on the mean square error and prediction mean square error of the biased estimators.

Keywords: Iteratively reweighted least squares; Binary logistic regression; Ridge estimator; Liu estimator; Mean square error; 62J05; 62J07 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s00362-016-0780-9

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