Diaconis–Ylvisaker prior penalized likelihood for $ p/n\to\kappa\in(0,1) $ logistic regression
维度与样本量成比例时逻辑回归的 Diaconis–Ylvisaker 先验惩罚似然
Summary We characterize the behaviour of the maximum Diaconis–Ylvisaker prior penalized likelihood estimator in high-dimensional logistic regression, where the number of covariates is a fraction $ \kappa\in(0,1) $ of the number of observations $ n $, as $ n\to\infty $. We construct a rescaled estimator with zero asymptotic aggregate bias, and define adjusted $ Z $-statistics and rescaled penalized likelihood ratio statistics that exhibit the typical null asymptotic…