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

Sujuan Gao - No affiliation found

2007/05/01 Full-length article DOI: 10.1016/j.spl.2007.01.004 Journal: Statistics & Probability Letters

Abstract:

AbstractMaximum 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.