Papers › The Asymptotic Distribution of the MLE in High-dimensional Logistic Models: Arbitrary...
The Asymptotic Distribution of the MLE in High-dimensional Logistic Models: Arbitrary Covariance
Qian Zhao, Pragya Sur, Emmanuel J. Candès
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We study the distribution of the maximum likelihood estimate (MLE) in high-dimensional logistic models, extending the recent results from Sur (2019) to the case where the Gaussian covariates may have an arbitrary covariance structure. We prove that in the limit of large problems holding the ratio between the number p of covariates and the sample size n constant, every finite list of MLE coordinates follows a multivariate normal distribution. Concretely, the $j$th coordinate β̂ⱼ of the MLE is asymptotically normally distributed with mean α_⋆ βⱼ and standard deviation σ_⋆/τⱼ; here, βⱼ is the value of the true regression coefficient, and τⱼ the standard deviation of the $j$th predictor conditional on all the others. The numerical parameters α_⋆ > 1 and σ_⋆ only depend upon the problem dimensionality p/n and the overall signal strength, and can be accurately estimated. Our results imply that the MLE's magnitude is biased upwards and that the MLE's standard deviation is greater than that predicted by classical theory. We present a series of experiments on simulated and real data showing excellent agreement with the theory.
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