The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square (Q2273603): Difference between revisions

The paper deals with a testing problem of binary regressions (e.g. the logistic model or the probit model), and concentrates on the distribution of twice the log-likelihood ratio (2LLR) under the null-hypothesis. The authors illustrate that the commonly used Wilks' theorem stating that the distribution of 2LLR will tend for increasing sample size \(n\) to a chi-square, does not hold when the number of variables included in the model is not negligible compared to \(n\). Instead, for a class of models, a rescaled chi-square has to be used to approximate the 2LLR distribution and the corresponding \(p\)-values adequately. The \(p\)-values obtained using the chi-square approximation without the rescaling factor are too small. The authors also show that the required rescaling factor can be obtained by solving a nonlinear system of two equations with two variables. The paper is well written and a very nice example of rigorous mathematical statistics. A large part of the paper is dedicated to proofs and thus it may be mainly of interest for researchers working in the field of mathematical statistics. People working with these models to analyze data might be satisfied with the take home messages.