Montag, 22. April 2024, 16:45 - 17:45 iCal

ISOR Colloquium

"Finite-sample performance of the maximum likelihood estimator in logistic regression"

Speaker: Jaouad Mourtada (ENSAE-CREST, France)

HS 7 OMP1 (#1.303)
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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The logistic model is a classical model to model binary responses to multivariate features. We consider the predictive performance of the maximum likelihood estimator (MLE) for logistic regression, assessed in terms of the logistic loss of its probabilistic forecasts. We consider two questions: first, that of the existence of the MLE (which occurs when the data is not linearly separated), and second that of its accuracy when it exists. These properties depend on both the dimension of covariates and on the signal strength.

In the case of Gaussian covariates and a well-specified logistic model, we obtain sharp non-asymptotic guarantees for the existence and excess prediction risk of the MLE. We then extend these results in two directions: first, to non-Gaussian covariates satisfying a certain regularity condition, and second to the case of a misspecified logistic model.

 

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Sabine Sobotka-Tompits, BA
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38631
sabine.sobotka-tompits@univie.ac.at

Erstellt am Montag, 08. April 2024, 09:38
Letzte Änderung am Montag, 15. April 2024, 08:45