A new kind of stochastic restricted biased estimator for logistic regression model. Issue 9 (4th July 2021)

• Record Type: Journal Article
• Authors: Alheety, M. I.; Månsson, Kristofer; Golam Kibria, B. M.
• Is Part Of: Journal of applied statistics. Volume 48:Issue 9(2021)
• Page Start: 1559
• Page End: 1578
• Publication Date: 2021-07-04
• Subjects: Logistic regression -- maximum likelihood estimator -- mean squared error matrix -- ridge regression -- simulation study -- stochastic restricted estimator; Primary 62J05 -- Secondary 62J07; Statistics -- Periodicals; 519.5
• DOI: 10.1080/02664763.2020.1769576
• Languages: English
• ISSNs: 0266-4763

Abstract

Abstract : In the logistic regression model, the variance of the maximum likelihood estimator is inflated and unstable when the multicollinearity exists in the data. There are several methods available in literature to overcome this problem. We propose a new stochastic restricted biased estimator. We study the statistical properties of the proposed estimator and compare its performance with some existing estimators in the sense of scalar mean squared criterion. An example and a simulation study are provided to illustrate the performance of the proposed estimator.