SLOE: A Faster Method for Statistical Inference in High-Dimensional Logistic Regression

• URL: http://arxiv.org/abs/2103.12725v1
• Date: Tue, 23 Mar 2021 17:48:56 GMT
• Title: SLOE: A Faster Method for Statistical Inference in High-Dimensional Logistic Regression
• Authors: Steve Yadlowsky, Taedong Yun, Cory McLean, Alexander D'Amour
• Abstract summary: We develop an improved method for debiasing predictions and estimating frequentist uncertainty for practical datasets. Our main contribution is SLOE, an estimator of the signal strength with convergence guarantees that reduces the computation time of estimation and inference by orders of magnitude.
• Score: 68.66245730450915
• License: http://arxiv.org/licenses/nonexclusive-distrib/1.0/
• Abstract: Logistic regression remains one of the most widely used tools in applied statistics, machine learning and data science. Practical datasets often have a substantial number of features $d$ relative to the sample size $n$. In these cases, the logistic regression maximum likelihood estimator (MLE) is biased, and its standard large-sample approximation is poor. In this paper, we develop an improved method for debiasing predictions and estimating frequentist uncertainty for such datasets. We build on recent work characterizing the asymptotic statistical behavior of the MLE in the regime where the aspect ratio $d / n$, instead of the number of features $d$, remains fixed as $n$ grows. In principle, this approximation facilitates bias and uncertainty corrections, but in practice, these corrections require an estimate of the signal strength of the predictors. Our main contribution is SLOE, an estimator of the signal strength with convergence guarantees that reduces the computation time of estimation and inference by orders of magnitude. The bias correction that this facilitates also reduces the variance of the predictions, yielding narrower confidence intervals with higher (valid) coverage of the true underlying probabilities and parameters. We provide an open source package for this method, available at https://github.com/google-research/sloe-logistic.

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