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Complete separation prevents a finite logistic MLE

Example

Let n=2, p=1, x1=−1, x2=1, and responses (y1,y2)=(0,1). Use independent Bernoulli responses with canonical logit link and parameter domain Θ=R. The two observations are completely separated by the sign of xi. Here a finite maximum-likelihood estimate means a finite β attaining the supremum of the log likelihood.

Facts & Assumptions

Given: The design column X=(−1,1)T, responses (0,1), the Bernoulli cumulant b(η)=log⁡(1+eη), and β∈R.

[F1]

Generalized linear model with explicit conditioning: the canonical link is the choice g=τ, equivalently θi=ηi.

[F2]

Canonical-link score and Hessian: the canonical score is XT(y−μ) when a(ϕ)=1.

[F3]

Strict concavity and uniqueness of a finite stationary maximizer: positive b′′ and full column rank imply strict concavity, but the conclusion does not assert existence of a finite maximizer.

[F4]

The Bernoulli-logit component mass on {0,1} relative to counting measure is f(y;η)=exp⁡{yη−log⁡(1+eη)}. It sums to one; the support is fixed, the response is bounded, and its first two η derivatives are locally bounded because f′=f(y−p) and f′′=f{(y−p)2−p(1−p)} with p=eη/(1+eη). (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)

Verification

1.1F3F4givenalgebra

The column X=(−1,1)T has rank one, and b′′(η)=eη/(1+eη)2>0 for every finite η. Thus [F3] applies and the log likelihood is strictly concave on R.

1.2F1F2F4algebra

By [F1], ℓ(β)=−b(−β)+β−b(β)=−2log⁡(1+e−β). The score formula [F2] gives ℓ′(β)=2/(1+eβ)>0 at every finite β.

2.1step 1.2algebra∎

The log likelihood is strictly negative for every finite β, while ℓ(β)→0 as β→+∞. Hence its supremum is 0 and is not attained at any finite parameter: this separated logistic model has no finite MLE despite strict concavity.

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