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Ouyou toukeigaku
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Ouyou toukeigaku
Article . 2007 . Peer-reviewed
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Approximate Estimate for Exact Logistic Regression

精確ロジスティック回帰の近似推定値
Authors: Masayuki Ohkura; Toshinari Kamakura;

Approximate Estimate for Exact Logistic Regression

Abstract

ロジスティック回帰モデルを利用する際,最尤法によりパラメータ推定を行うのが一般的である.しかし,最尤推定量は完全分離または準完全分離の場合に存在しないことが知られている.また,発現確率が極端に小さい(または大きい)場合やパラメータ数に比べて標本サイズが小さい場合も妥当でないことが知られている.このような状況において,精確ロジスティック回帰推定法が有用であると言われている.しかし,すべての統計ソフトで精確ロジスティック回帰推定法を実施できるわけではない.Firth(1993)は最尤推定量のバイアスを取り除く方法を提案したが,完全分離または準完全分離に近い状態での検証は十分行われていない.本報告の目的は,完全分離または準完全分離に近い状態において,最尤推定値またはFirth法推定値を精確ロジスティック回帰推定値に近似する方法を検討することである.また,パラメータ推定の改善のためのデータ構造に関する近似法をシミュレーションにより検討する.尤度関数をTaylor展開することにより,最尤推定値またはFirth法推定値を精確ロジスティック回帰推定値に近似することが可能であることが分かった.さらに,最尤推定値はデータ構造を考慮することにより,近似の精度の改善が可能であることを示した.

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
2
Average
Average
Average
bronze