The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square

DOI10.1007/S00440-018-00896-9zbMath1431.62319arXiv1706.01191OpenAlexW2963669167WikidataQ128538536 ScholiaQ128538536MaRDI QIDQ2273603

Pragya Sur, Yuxin Chen, Emmanuel J. Candès

Publication date: 24 September 2019

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1706.01191

zbMATH Keywords

logistic regressionconcentration inequalitieshigh-dimensionalitygoodness of fitWilks' theoremconvex geometryapproximate message passingleave-one-out analysislikelihood-ratio tests

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Generalized linear models (logistic models) (62J12)

Related Items (35)

Approximate message passing algorithms for rotationally invariant matrices ⋮ The asymptotic distribution of the MLE in high-dimensional logistic models: arbitrary covariance ⋮ Thresholding tests based on affine Lasso to achieve non-asymptotic nominal level and high power under sparse and dense alternatives in high dimension ⋮ A precise high-dimensional asymptotic theory for boosting and minimum-\(\ell_1\)-norm interpolated classifiers ⋮ Weighted Lasso estimates for sparse logistic regression: non-asymptotic properties with measurement errors ⋮ The phase transition for the existence of the maximum likelihood estimate in high-dimensional logistic regression ⋮ Characterizing the SLOPE trade-off: a variational perspective and the Donoho-Tanner limit ⋮ Automatic bias correction for testing in high‐dimensional linear models ⋮ Implicit regularization in nonconvex statistical estimation: gradient descent converges linearly for phase retrieval, matrix completion, and blind deconvolution ⋮ Discussion on: “A Scale-Free Approach for False Discovery Rate Control in Generalized Linear Models” by Dai, Lin, Zing, Liu ⋮ Knockoffs with side information ⋮ Bounds for the asymptotic distribution of the likelihood ratio ⋮ Statistical Inference for High-Dimensional Generalized Linear Models With Binary Outcomes ⋮ Gradient descent with random initialization: fast global convergence for nonconvex phase retrieval ⋮ Universality of approximate message passing with semirandom matrices ⋮ A tradeoff between false discovery and true positive proportions for sparse high-dimensional logistic regression ⋮ The existence of maximum likelihood estimate in high-dimensional binary response generalized linear models ⋮ Moderate-Dimensional Inferences on Quadratic Functionals in Ordinary Least Squares ⋮ Which bridge estimator is the best for variable selection? ⋮ Noisy Matrix Completion: Understanding Statistical Guarantees for Convex Relaxation via Nonconvex Optimization ⋮ Unnamed Item ⋮ The generalized Lasso problem and uniqueness ⋮ The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square ⋮ A stable and adaptive polygenic signal detection method based on repeated sample splitting ⋮ FDR control and power analysis for high-dimensional logistic regression via Stabkoff ⋮ Universality of approximate message passing algorithms and tensor networks ⋮ Comparing algorithms for characterizing treatment effect heterogeneity in randomized trials ⋮ Markov neighborhood regression for statistical inference of high-dimensional generalized linear models ⋮ Spectral method and regularized MLE are both optimal for top-\(K\) ranking ⋮ Scale calibration for high-dimensional robust regression ⋮ Reproducible learning in large-scale graphical models ⋮ Global and Simultaneous Hypothesis Testing for High-Dimensional Logistic Regression Models ⋮ A Unifying Tutorial on Approximate Message Passing ⋮ Directional testing for high dimensional multivariate normal distributions ⋮ Replica analysis of overfitting in generalized linear regression models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On asymptotically optimal confidence regions and tests for high-dimensional models
• High dimensional robust M-estimation: asymptotic variance via approximate message passing
• Penalized maximum likelihood estimation and effective dimension
• On the impact of predictor geometry on the performance on high-dimensional ridge-regularized generalized robust regression estimators
• A high-dimensional Wilks phenomenon
• A tail inequality for quadratic forms of subgaussian random vectors
• Hanson-Wright inequality and sub-Gaussian concentration
• A decomposition for the likelihood ratio statistic and the Bartlett correction - a Bayesian argument
• Finding hidden cliques of size \(\sqrt{N/e}\) in nearly linear time
• Asymptotic behavior of M-estimators of p regression parameters when \(p^ 2/n\) is large. I. Consistency
• Asymptotic behavior of M estimators of p regression parameters when \(p^ 2/n\) is large. II: Normal approximation
• Asymptotic behavior of the empiric distribution of M-estimated residuals from a regression model with many parameters
• Asymptotic behavior of likelihood methods for exponential families when the number of parameters tends to infinity
• Asymptotics with increasing dimension for robust regression with applications to the bootstrap
• On parameters of increasing dimensions
• False discoveries occur early on the Lasso path
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Generalized likelihood ratio statistics and Wilks phenomenon
• Maximum likelihood estimation in logistic regression models with a diverging number of covariates
• Debiasing the Lasso: optimal sample size for Gaussian designs
• An introduction to Bartlett correction and bias reduction
• The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square
• Universality in polytope phase transitions and message passing algorithms
• High-dimensional generalized linear models and the lasso
• Mills' ratio: Monotonicity patterns and functional inequalities
• Nonparametric inference with generalized likelihood ratio tests (With comments and rejoinder)
• Bartlett correction factors in logistic regression models
• On robust regression with high-dimensional predictors
• Penalized high-dimensional empirical likelihood
• A GENERAL METHOD FOR APPROXIMATING TO THE DISTRIBUTION OF LIKELIHOOD RATIO CRITERIA
• Updating the Inverse of a Matrix
• Bartlett corrections for one-parameter exponential family models
• On bartlett and bartlett-type corrections francisco cribari-neto
• Asymptotic Statistics
• Precise Error Analysis of Regularized <inline-formula> <tex-math notation="LaTeX">$M$ </tex-math> </inline-formula>-Estimators in High Dimensions
• Panning for Gold: ‘Model-X’ Knockoffs for High Dimensional Controlled Variable Selection
• State evolution for general approximate message passing algorithms, with applications to spatial coupling
• Living on the edge: phase transitions in convex programs with random data
• A modern maximum-likelihood theory for high-dimensional logistic regression
• Universality laws for randomized dimension reduction, with applications
• The LASSO Risk for Gaussian Matrices
• Nonconcave Penalized Likelihood With NP-Dimensionality
• The Dynamics of Message Passing on Dense Graphs, with Applications to Compressed Sensing
• Some Remarks on Latent Variable Models in Categorical Data Analysis
• Testing Statistical Hypotheses
• Enumeration of Seven-Argument Threshold Functions
• A Bound on Tail Probabilities for Quadratic Forms in Independent Random Variables
• Properties of sufficiency and statistical tests
• A GENERAL DISTRIBUTION THEORY FOR A CLASS OF LIKELIHOOD CRITERIA
• Some Inequalities on Mill's Ratio and Related Functions
• On the Distribution of the Likelihood Ratio

This page was built for publication: The likelihood ratio test in high-dimensional logistic regression is asymptotically a rescaled Chi-square