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Complete separation prevents a finite logistic MLE
Example
Let , , , , and responses . Use independent Bernoulli responses with canonical logit link and parameter domain . The two observations are completely separated by the sign of . Here a finite maximum-likelihood estimate means a finite attaining the supremum of the log likelihood.
Facts & Assumptions
Given: The design column , responses , the Bernoulli cumulant , and .
Generalized linear model with explicit conditioning: the canonical link is the choice , equivalently .
Canonical-link score and Hessian: the canonical score is when .
Strict concavity and uniqueness of a finite stationary maximizer: positive and full column rank imply strict concavity, but the conclusion does not assert existence of a finite maximizer.
The Bernoulli-logit component mass on relative to counting measure is . It sums to one; the support is fixed, the response is bounded, and its first two derivatives are locally bounded because and with . (Bernoulli random variables and binomial random variables as sums of independent Bernoulli trials, The exponential function is smooth and , The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t)
Verification
The column has rank one, and for every finite . Thus [F3] applies and the log likelihood is strictly concave on .
By [F1], . The score formula [F2] gives at every finite .
The log likelihood is strictly negative for every finite , while as . Hence its supremum is and is not attained at any finite parameter: this separated logistic model has no finite MLE despite strict concavity.
Depends on
- Generalized linear model with explicit conditioning
- Canonical-link score and Hessian
- Strict concavity and uniqueness of a finite stationary maximizer
- Bernoulli random variables and binomial random variables as sums of independent Bernoulli trials
- The exponential function is smooth and $(\exp)'=\exp$
- The natural logarithm has derivative 1/x and equals the integral from 1 to x of 1/t
Used by
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