Electronic Journal of Statistics

Comparing two samples by penalized logistic regression

Konstantinos Fokianos

Full-text: Open access

Abstract

Inference based on the penalized density ratio model is proposed and studied. The model under consideration is specified by assuming that the log–likelihood function of two unknown densities is of some parametric form. The model has been extended to cover multiple samples problems while its theoretical properties have been investigated using large sample theory. A main application of the density ratio model is testing whether two, or more, distributions are equal. We extend these results by arguing that the penalized maximum empirical likelihood estimator has less mean square error than that of the ordinary maximum likelihood estimator, especially for small samples. In fact, penalization resolves any existence problems of estimators and a modified Wald type test statistic can be employed for testing equality of the two distributions. A limited simulation study supports further the theory.

Article information

Source
Electron. J. Statist., Volume 2 (2008), 564-580.

Dates
First available in Project Euclid: 16 July 2008

Permanent link to this document
https://projecteuclid.org/euclid.ejs/1216238024

Digital Object Identifier
doi:10.1214/07-EJS078

Mathematical Reviews number (MathSciNet)
MR2426102

Zentralblatt MATH identifier
1320.62070

Subjects
Primary: 62G05: Estimation
Secondary: 62G20: Asymptotic properties

Keywords
Empirical likelihood biased sampling penalty semiparametric shrinkage mean square error power

Citation

Fokianos, Konstantinos. Comparing two samples by penalized logistic regression. Electron. J. Statist. 2 (2008), 564--580. doi:10.1214/07-EJS078. https://projecteuclid.org/euclid.ejs/1216238024


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