MLE of Logistic Regression

#Maximum Likelihood Estimation in Logistic Regression (logit link)

##Bernoulli distribution

The pmf of bernoulli distribution is \[\begin{equation} P(Y=y) = p^{y} (1-p) ^{1-y} \tag{1} \end{equation}\] where \(y\) is \(1\) or \(0\).

##Likelihood of Logistic Regression

\[\begin{equation} \begin{split} L(\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x}) &= L(\beta_0,\beta_1|(y_1,...,y_n);(x_1,...,x_n)) \\ &= \prod^{n}_{i=1} p_{i}^{y_i}(1-p_i)^{1-y_i} \end{split} \tag{2} \end{equation}\]

##Log-likelihood of Logistic Regression

\[\begin{equation} \begin{split} \ell (\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x}) & = log(\prod^{n}_{i=1} p_{i}^{y_i}(1-p_{i})^{1-y_i}) \\ & = \sum_{i=1}^{n} log(p_{i}^{y_i}) + log((1-p_{i})^{1-y_i}) \\ & = \sum_{i=1}^{n} y_{i} log(p_{i}) + (1-y_{i})log(1-p_{i}) \end{split} \tag{3} \end{equation}\]

0.1 Logit link

\[\begin{equation} \begin{split} logit(p_i) &= log(\frac{p_i}{1-p_i}) \\ &= \beta_0 + \beta_1 x_1 \end{split} \tag{4} \end{equation}\]

Obviously, \(p_i\) is

\[\begin{equation} \begin{split} p_i &= \frac{exp(\beta_0+x_1 \beta_1)}{1 + exp(\beta_0+x_1 \beta_1)} \end{split} \tag{5} \end{equation}\]

First partial derivative with respect to the variable \(\beta_0\)

\[\begin{equation} \begin{split} \frac{\partial p_i}{\partial \beta_0} &= \frac{exp(\beta_0+x_1 \beta_1)}{(1+exp(\beta_0+x_1 \beta_1))^2}\\ &= p_i (1-p_i) \end{split} \tag{6} \end{equation}\]

Similiarly, we have

\[\begin{equation} \begin{split} \frac{\partial p_i}{\partial \beta_1} &= \frac{x_1 exp(\beta_0+x_1 \beta_1)}{(1+exp(\beta_0+x_1 \beta_1))^2}\\ &= x_1 p_i (1-p_i) \end{split} \tag{7} \end{equation}\]

0.2 Partial Derivatives of log-likelihood function

Combine equations (3) - (7)

\[\begin{equation} \begin{split} \frac{\partial \ell (\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x})}{\partial \beta_0} & = \sum_{i=1}^{n} y_i \frac{\partial log(p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_0} + (1-y_i) \frac{\partial log(1-p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_0}\\ & = \sum_{i=1}^{n}\frac{y_i}{p_i} \frac{\partial p_i}{\partial \beta_0} - \frac{1 - y_i}{1- p_i} \frac{\partial p_i}{\partial \beta_0} \\ & = \sum_{i=1}^{n} y_i - p_i = 0 \end{split} \tag{8} \end{equation}\]

\[\begin{equation} \begin{split} \frac{\partial \ell (\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x})}{\partial \beta_1} & = \sum_{i=1}^{n} y_i \frac{\partial log(p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_1} + (1-y_i) \frac{\partial log(1-p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_1}\\ & = \sum_{i=1}^{n}\frac{y_i}{p_i} \frac{\partial p_i}{\partial \beta_1} - \frac{1 - y_i}{1- p_i} \frac{\partial p_i}{\partial \beta_1} \\ & = \sum_{i=1}^{n} x_i (y_i - p_i) = 0 \end{split} \tag{9} \end{equation}\]

#Maximum Likelihood Estimation in Logistic Regression (probit link)

##Normal distribution

We define \(\varphi(x)\) as pdf function of standard normal distribution and define \(\Phi(x)\) as cdf function of standard normal distribution. Here we don’t need to show what exactly \(\varphi(x)\) and \(\Phi(x)\) are.

For this section, only relationship between \(\varphi(x)\) and \(\Phi(x)\) matters.

\[\begin{equation} \begin{split} \varphi(x) = \frac{d\Phi(x)}{dx} \end{split} \tag{10} \end{equation}\]

##Likelihood and loglikelihood of Logistic Regression with probit link

Likelihood and loglikelihood of Logistic Regression with probit link are as same as (2) and (3)

##Probit link

\[\begin{equation} \begin{split} probit(p_i) = \Phi^{-1}(p_i) = \beta_0 + \beta_1 x_i \end{split} \tag{11} \end{equation}\]

Equivalently

\[\begin{equation} \begin{split} p_i = \Phi(\Phi^{-1}(p_i)) = \Phi(\beta_0+\beta_1 x_i) \end{split} \tag{12} \end{equation}\]

Based on equation (10), \(\frac{\partial \Phi(\beta_0 + \beta_1 x_i)}{\partial (\beta_0 + \beta_1 x_i)} = \varphi(\beta_0 + \beta_1 x_i)\). First partial derivative with respect to the variable \(\beta_0\):

\[\begin{equation} \begin{split} \frac{\partial p_i}{\partial \beta_0} = \frac{\partial \Phi(\beta_0+\beta_1 x_i)}{\partial (\beta_0+\beta_1 x_i)} \frac{\partial (\beta_0+\beta_1 x_i)}{\partial \beta_0} = \varphi(\beta_0+\beta_1 x_i) \end{split} \tag{13} \end{equation}\]

Similarly, we have

\[\begin{equation} \begin{split} \frac{\partial p_i}{\partial \beta_1} = \frac{\partial \Phi(\beta_0+\beta_1 x_i)}{\partial (\beta_0+\beta_1 x_i)} \frac{\partial (\beta_0+\beta_1 x_i)}{\partial \beta_1} = \varphi(\beta_0+\beta_1 x_i) x_i \end{split} \tag{14} \end{equation}\]

##Partial Derivatives of log-likelihood function

\[\begin{equation} \begin{split} \frac{\partial \ell (\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x})}{\partial \beta_0} & = \sum_{i=1}^{n} y_i \frac{\partial log(p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_0} + (1-y_i) \frac{\partial log(1-p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_0}\\ & = \sum_{i=1}^{n}\frac{y_i}{p_i} \frac{\partial p_i}{\partial \beta_0} - \frac{1 - y_i}{1- p_i} \frac{\partial p_i}{\partial \beta_0} \\ & = \sum_{i=1}^{n} \frac{y_i \varphi(\beta_0 + \beta_1 x_i)}{\Phi(\beta_0 + \beta_1 x_i)} - \frac{(1-y_i)\varphi(\beta_0 + \beta_1 x_i)}{1 - \Phi(\beta_0 + \beta_1 x_i)} \\ & = \sum_{i=1}^{n} \frac{\varphi(\beta_0 + \beta_1 x_i)(y_i - \Phi(\beta_0 + \beta_1 x_i))}{\Phi(\beta_0 + \beta_1 x_i)(1-\Phi(\beta_0+\beta_1 x_i))} \end{split} \tag{15} \end{equation}\]

\[\begin{equation} \begin{split} \frac{\partial \ell (\boldsymbol{\beta} | \mathbf{y} ; \mathbf{x})}{\partial \beta_1} & = \sum_{i=1}^{n} y_i \frac{\partial log(p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_1} + (1-y_i) \frac{\partial log(1-p_i)}{\partial p_i} \frac{\partial p_i}{\partial \beta_1}\\ & = \sum_{i=1}^{n}\frac{y_i}{p_i} \frac{\partial p_i}{\partial \beta_1} - \frac{1 - y_i}{1- p_i} \frac{\partial p_i}{\partial \beta_1} \\ & = \sum_{i=1}^{n} \frac{y_i \varphi(\beta_0 + \beta_1 x_i)x_i}{\Phi(\beta_0 + \beta_1 x_i)} - \frac{(1-y_i)\varphi(\beta_0 + \beta_1 x_i)x_i}{1 - \Phi(\beta_0 + \beta_1 x_i)} \\ & = \sum_{i=1}^{n} \frac{\varphi(\beta_0 + \beta_1 x_i)(y_i - \Phi(\beta_0 + \beta_1 x_i))}{\Phi(\beta_0 + \beta_1 x_i)(1-\Phi(\beta_0+\beta_1 x_i))}x_i \end{split} \tag{16} \end{equation}\]

#Packages and version information

library(tidyverse)
library(cowplot)
library(numDeriv)
sessionInfo()

## R version 4.2.1 (2022-06-23 ucrt)
## Platform: x86_64-w64-mingw32/x64 (64-bit)
## Running under: Windows 10 x64 (build 22621)
## 
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## locale:
## [1] LC_COLLATE=English_United States.utf8 
## [2] LC_CTYPE=English_United States.utf8   
## [3] LC_MONETARY=English_United States.utf8
## [4] LC_NUMERIC=C                          
## [5] LC_TIME=English_United States.utf8    
## 
## attached base packages:
## [1] stats     graphics  grDevices utils     datasets  methods   base     
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## other attached packages:
##  [1] numDeriv_2016.8-1.1 lattice_0.20-45     optimization_1.0-9 
##  [4] Rcpp_1.0.9          lme4_1.1-31         Matrix_1.5-3       
##  [7] nycflights13_1.0.2  forcats_0.5.1       stringr_1.4.0      
## [10] purrr_0.3.4         readr_2.1.2         tidyr_1.2.0        
## [13] tibble_3.1.8        tidyverse_1.3.2     cowplot_1.1.1      
## [16] dplyr_1.0.9         ggplot2_3.3.6       reticulate_1.28    
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##  [1] nlme_3.1-157        fs_1.5.2            lubridate_1.8.0    
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##  [7] tools_4.2.1         backports_1.4.1     bslib_0.4.0        
## [10] utf8_1.2.2          R6_2.5.1            DBI_1.1.3          
## [13] colorspace_2.0-3    withr_2.5.0         tidyselect_1.1.2   
## [16] compiler_4.2.1      cli_3.3.0           rvest_1.0.2        
## [19] xml2_1.3.3          labeling_0.4.2      bookdown_0.28      
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## [37] generics_0.1.3      jsonlite_1.8.0      googlesheets4_1.0.1
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## [67] broom_1.0.0         googledrive_2.0.0   gargle_1.2.0       
## [70] ellipsis_0.3.2      here_1.0.1

#MLE of logistic regression - Three Methods In this section, I will use three methods, Newton-Raphson, Fisher Scoring and IRLS(iteratively reweighted least squares) to estimate \(\beta_0, \beta_1\). The data set used in this section came from execrise 17.1 of Richard M. Heiberger (2015).

0.3 MLE-logit link via Newton-Raphson

Newton-Raphson’s equation is

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = \boldsymbol{\beta}^{(t)} - (\boldsymbol{H}^{(t)})^{-1}\boldsymbol{u}^{(t)} \end{split} \tag{17} \end{equation}\]

Where

\(\boldsymbol{\beta}^{(t)} = \begin{bmatrix} \beta_{0}^{(t)}\\ \beta_{1}^{(t)} \end{bmatrix}\)

From equation (8) and (9), we have

\(\boldsymbol{u}^{(t)} = \begin{bmatrix} u_{0}^{(t)}\\ u_{1}^{(t)} \end{bmatrix} = \begin{bmatrix} \frac{\partial \boldsymbol{\ell} (\boldsymbol(\beta)^{(t)}|\boldsymbol{y};\boldsymbol{x})}{\partial \beta_0}\\ \frac{\partial \boldsymbol{\ell} (\boldsymbol(\beta)^{(t)}|\boldsymbol{y};\boldsymbol{x})}{\partial \beta_1} \end{bmatrix} = \begin{bmatrix} \sum_{i=1}^{n} y_i - p_i^{(t)}\\ \sum_{i=1}^{n} x_i(y_i - p_i^{(t)}) \end{bmatrix}\)

From equation (3), we have

\(\ell (\boldsymbol{\beta}^{(t)} | \mathbf{y} ; \mathbf{x}) = \sum_{i=1}^{n} y_{i} log(p_{i}^{(t)}) + (1-y_{i})log(1-p_{i}^{(t)})\)

From equation (5), we have

\(p_{i}^{(t)} = \frac{exp(\beta_{0}^{(t)}+x_1 \beta_{1}^{(t)})}{1 + exp(\beta_{0}^{(t)}+x_{1} \beta_{1}^{(t)})}\)

\(\boldsymbol{H}^{(t)}\) can be considered as Jacobian matrix of \(\boldsymbol{u}(\cdot)\),

\(\boldsymbol{H}^{(t)} = \begin{bmatrix} \frac{\partial u_{0}^{(t)}}{\partial \beta_0} & \frac{\partial u_{0}^{(t)}}{\partial \beta_1}\\ \frac{\partial u_{1}^{(t)}}{\partial \beta_0} & \frac{\partial u_{1}^{(t)}}{\partial \beta_1} \end{bmatrix}\)

Last, \(\boldsymbol{H}^{(t)}\) can also be considered as Hessian matrix of \(\boldsymbol{\ell}(\cdot)\),

\(\boldsymbol{H}^{(t)} = \begin{bmatrix} \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0^2} & \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0 \beta_1} \\ \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0 \beta_1} & \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_1^2} \end{bmatrix}\)

##Create a simple data frame
df1 <- tibble(xx = 1:4,
              y = c(1,0,1,0))
df1

## # A tibble: 4 × 2
##      xx     y
##   <int> <dbl>
## 1     1     1
## 2     2     0
## 3     3     1
## 4     4     0

Using equations (8) and (9), we can get same coefficients’ estimation via Newton-Raphson Method.

func.u <- function(x) c(sum(df1$y - exp(x[1] + x[2] * df1$xx)/ (1 + exp(x[1] + x[2] * df1$xx))),
                        sum(df1$xx * (df1$y - exp(x[1] + x[2] * df1$xx)/ (1 + exp(x[1] + x[2] * df1$xx)))))

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-1))

while(abs(sum(delta)) > 0.0001){
  xx <- x ##current x value
  x <- as.matrix(x) - solve(jacobian(func.u, x = x)) %*% func.u(x) ##new x value
  delta <- x - as.matrix(xx)
}
x

##            [,1]
## [1,]  2.2704607
## [2,] -0.9081843

0.4 MLE-logit link via Fisher Socring

Fisher Socring’s equation is

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = \boldsymbol{\beta}^{(t)} + (\boldsymbol{J}^{(t)})^{-1}\boldsymbol{u}^{(t)} \end{split} \tag{18} \end{equation}\]

Where

\(\boldsymbol{J}^{(t)} = \boldsymbol{X}^{T} \boldsymbol{W}^{(t)} \boldsymbol{X}\), \(\boldsymbol{X}\) is design matrix.

\(\boldsymbol{W}^{(t)} = \text{diag} ((\frac{\partial \mu_i^{(t)}}{\partial (\beta_0 + x_i\beta_1)})^2 \frac{1}{\text{var}(y_i)})\)

\(\frac{\partial \mu_i^{(t)}}{\partial (\beta_0 + x_i\beta_1)} = \frac{exp(\beta_0 + x_i\beta_1)^{(t)}}{(1+exp(\beta_0 + x_i\beta_1)^{(t)})^2}\)

From eq (5), we have

\(\text{var}(y_i) = p_i(1-p_i) = \frac{exp(\beta_0 + x_i\beta_1)^{(t)}}{(1+exp(\beta_0 + x_i\beta_1)^{(t)})^2}\)

So

\((\frac{\partial \mu_i^{(t)}}{\partial (\beta_0 + x_i\beta_1)})^2 \frac{1}{\text{var}(y_i)} = \frac{exp(\beta_0 + x_i\beta_1)^{(t)}}{(1+exp(\beta_0 + x_i\beta_1)^{(t)})^2}\)

Eventually, we have

\(\boldsymbol{W}^{(t)} = \text{diag}(\frac{exp(\beta_0 + x_i\beta_1)}{(1+exp(\beta_0 + x_i\beta_1))^2})^{(t)}\)

X <- cbind(rep(1,4),df1$xx)
X <- as.matrix(X)

func1 <- function(x) {
  x <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  exp(x)/(1+exp(x))^2
}

model1 <- function(x) c(sum(df1$y - exp(x[1] + x[2] * df1$xx)/ (1 + exp(x[1] + x[2] * df1$xx))),
                        sum(df1$xx * (df1$y - exp(x[1] + x[2] * df1$xx)/ (1 + exp(x[1] + x[2] * df1$xx)))))

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-1))

while (abs(sum(delta)) > 0.0001) {
  xx <- x ##current x value
  W <- diag(array(func1(x = x)))
  J <- t(X) %*% W %*% X 
  x <- as.matrix(x) + solve(J) %*% model1(x)
  delta <- x - as.matrix(xx)
}
x

##            [,1]
## [1,]  2.2704607
## [2,] -0.9081843

0.5 MLE-logit link via IRLS

Iteratively reweighted least squares’ equation is

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = (\boldsymbol{J}^{(t)})^{-1}\boldsymbol{X}^{T}\boldsymbol{W}^{(t)}\boldsymbol{Z}^{(t)} \end{split} \tag{19} \end{equation}\]

Where

\(\boldsymbol{Z}^{(t)} = \boldsymbol{X} \boldsymbol{\beta}^{(t)} + (\boldsymbol{D}^{(t)})^{-1}(\boldsymbol{y} - \boldsymbol{p}^{(t)})\)

\(\boldsymbol{D}^{(t)} = \text{ diag }(\frac{\partial \mu_i ^{(t)}}{\partial (\beta_0 + \beta_1x_i)}) = \text{diag}(\frac{exp(\beta_0 + x_i\beta_1)}{(1+exp(\beta_0 + x_i\beta_1))^2})^{(t)}\)

X <- cbind(rep(1,4),df1$xx)
X <- as.matrix(X) #design matrix X

func.mu <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return(exp(upeta)/(1+exp(upeta)))
}

func.W <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return(exp(upeta)/(1+exp(upeta))^2)
}

func.D <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return(exp(upeta)/(1+exp(upeta))^2)
}

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-1)) #inital values for beta0 and beta1

while (abs(sum(delta)) > 0.0001) {
  xx <- x ##current x value
  W <- diag(array(func.W(x = x)))
  J <- t(X) %*% W %*% X
  D <- diag(array(func.D(x = x)))
  z <- X %*% x + solve(D) %*% (df1$y - func.mu(x))
  x <- solve(J) %*% t(X) %*% W %*% z
  delta <- x - as.matrix(xx)
}
x

##            [,1]
## [1,]  2.2704607
## [2,] -0.9081843

0.6 MLE-probit link via Newton-Raphson

Probit link Newton-Raphson equation looks as same as (17)

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = \boldsymbol{\beta}^{(t)} - (\boldsymbol{H}^{(t)})^{-1}\boldsymbol{u}^{(t)} \end{split} \tag{20} \end{equation}\]

However, \(\boldsymbol{u}^{(t)}\) is acutally different so is \(\boldsymbol{H}^{(t)}\).

\(\boldsymbol{u}^{(t)} = \begin{bmatrix} \frac{\partial \boldsymbol{\ell} (\boldsymbol(\beta)^{(t)}|\boldsymbol{y};\boldsymbol{x})}{\partial \beta_0}\\ \frac{\partial \boldsymbol{\ell} (\boldsymbol(\beta)^{(t)}|\boldsymbol{y};\boldsymbol{x})}{\partial \beta_1} \end{bmatrix}\), \(\frac{\partial \boldsymbol{\ell} (\cdot) }{\partial \beta_0}\) and \(\frac{\partial \boldsymbol{\ell} (\cdot) }{\partial \beta_1}\) are as same as equations (15) and (16).

\(\boldsymbol{H}^{(t)} = \begin{bmatrix} \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0^2} & \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0 \beta_1} \\ \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_0 \beta_1} & \frac{\partial^2 \boldsymbol{\ell}(\boldsymbol{\beta}^{(t)} | \boldsymbol{y};\boldsymbol{x})}{\partial \beta_1^2} \end{bmatrix}\), \(\boldsymbol{H}^{(t)}\) are determined by \(\boldsymbol{u}^{(t)}\), hence will be different from [equations from MLE-logit section] MLE-logit link via Newton-Raphson.

model2 <- function(x) c(sum((dnorm(x[1]+x[2] * df1$xx))*(df1$y - pnorm(x[1]+x[2] * df1$xx))/
                                   ((pnorm(x[1]+x[2] * df1$xx))*(1-pnorm(x[1]+x[2] * df1$xx)))),
                        sum((dnorm(x[1]+x[2] * df1$xx))*(df1$y - pnorm(x[1]+x[2] * df1$xx))/
                                   ((pnorm(x[1]+x[2] * df1$xx))*(1-pnorm(x[1]+x[2] * df1$xx)))*df1$xx)
)

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-2))

while(abs(sum(delta)) > 0.0001){
  xx <- x ##current x value
  x <- as.matrix(x) - solve(jacobian(model2, x = x)) %*% model2(x) ##new x value
  delta <- x - as.matrix(xx)
}
x

##           [,1]
## [1,]  1.477002
## [2,] -0.590801

0.7 MLE-probit link via Fisher Socring

Fisher Socring’s equation is

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = \boldsymbol{\beta}^{(t)} + (\boldsymbol{J}^{(t)})^{-1}\boldsymbol{u}^{(t)} \end{split} \tag{21} \end{equation}\]

Where \(\boldsymbol{J}^{(t)} = \boldsymbol{X}^{T} \boldsymbol{W}^{(t)} \boldsymbol{X}\)

\(\boldsymbol{W}^{(t)} = \text{ diag }((\frac{\partial \mu_i^{(t)}}{\partial (\beta_0 + x_i\beta_1)})^2 \frac{1}{\text{var}(y_i)})\)

\(\frac{\partial \mu_i}{\partial \beta_0 + x_1\beta_1} = \frac{\partial p_i}{\partial \beta_0 + x_1\beta_1} = \varphi(\beta_0 + x_1\beta_1)\)

\(\text{Var}(y_i) = p_i (1-p_i) = \Phi(\beta_0 + x_1\beta_1)(1-\Phi(\beta_0 + x_1\beta_1))\)

\(\boldsymbol{W}^{(t)} = \text{ diag }(\frac{\varphi^2(\beta_0 + x_1\beta_1)}{\Phi(\beta_0 + x_1\beta_1)(1-\Phi(\beta_0 + x_1\beta_1))})^{(t)}\)

X <- cbind(rep(1,4),df1$xx)
X <- as.matrix(X)

func2 <- function(x) {
  x <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  dnorm(x)^2/(pnorm(x)*(1-pnorm(x)))
}

model2 <- function(x) c(sum((dnorm(x[1]+x[2] * df1$xx))*(df1$y - pnorm(x[1]+x[2] * df1$xx))/
                                   ((pnorm(x[1]+x[2] * df1$xx))*(1-pnorm(x[1]+x[2] * df1$xx)))),
                        sum((dnorm(x[1]+x[2] * df1$xx))*(df1$y - pnorm(x[1]+x[2] * df1$xx))/
                                   ((pnorm(x[1]+x[2] * df1$xx))*(1-pnorm(x[1]+x[2] * df1$xx)))*df1$xx)
)

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-1))

while (abs(sum(delta)) > 0.0001) {
  xx <- x ##current x value
  W <- diag(array(func2(x = x)))
  J <- t(X) %*% W %*% X 
  x <- as.matrix(x) + solve(J) %*% model2(x)
  delta <- x - as.matrix(xx)
}
x

##            [,1]
## [1,]  1.4769988
## [2,] -0.5907995

0.8 MLE-probit link via IRLS

Iteratively reweighted least squares’ equation is

\[\begin{equation} \begin{split} \boldsymbol{\beta}^{(t+1)} = (\boldsymbol{J}^{(t)})^{-1}\boldsymbol{X}^{T}\boldsymbol{W}^{(t)}\boldsymbol{Z}^{(t)} \end{split} \tag{22} \end{equation}\]

Where

\(\boldsymbol{Z}^{(t)} = \boldsymbol{X} \boldsymbol{\beta}^{(t)} + (\boldsymbol{D}^{(t)})^{-1}(\boldsymbol{y} - \boldsymbol{p}^{(t)})\)

\(\boldsymbol{D}^{(t)} = \text{ diag }(\frac{\partial \mu_i ^{(t)}}{\partial (\beta_0 + \beta_1x_i)}) = \text{diag }(\varphi(\beta_0 + \beta_1x_i))^{(t)}\)

df1 <- data.frame(xx = 1:4,
                  y = c(1,0,1,0))

X <- cbind(rep(1,4),df1$xx)
X <- as.matrix(X) #design matrix X

func.mu <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return(pnorm(upeta))
}

func.W <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return((dnorm(upeta))^2/(pnorm(upeta)*(1-pnorm(upeta))))
}

func.D <- function(x) {
  upeta <- X %*% matrix(c(x[1],x[2]), nrow = 2)
  return(dnorm(upeta))
}

delta <- matrix(1:2,nrow = 2)
x <- array(c(2,-1)) #inital values for beta0 and beta1

while (abs(sum(delta)) > 0.0001) {
  xx <- x ##current x value
  W <- diag(array(func.W(x = x)))
  J <- t(X) %*% W %*% X
  D <- diag(array(func.D(x = x)))
  z <- X %*% x + solve(D) %*% (df1$y - func.mu(x))
  x <- solve(J) %*% t(X) %*% W %*% z
  delta <- x - as.matrix(xx)
}
x

##            [,1]
## [1,]  1.4769988
## [2,] -0.5907995

##R glm output

Using stats::glm function we have identical estimations comparing from MLE-logit link via Newton-Raphson to MLE-logit link via IRLS.

However, for probit link, estimations we have from MLE-probit link via Newton-Raphson to MLE-probit link via IRLS are slightly different from estimations via stats::glm function. There must be hiden secret that I don’t know. It will be inteseting to find out how exactly stats::glm do estimation for logistic regression.

##Logit logistic regression
glm1 <- glm(y ~ xx, data=df1, family=binomial)
glm1$coefficients

## (Intercept)          xx 
##   2.2704607  -0.9081843

##Build probit logistic regression
glm2 <- glm(y ~ xx, data=df1, family=binomial(link = "probit"))
glm2$coefficients

## (Intercept)          xx 
##   1.4769772  -0.5907909

References

Agresti (2016) Richard M. Heiberger (2015)

Agresti, Alan. 2016. Foundations of Linear and Generalized Linear Models. First Edition.

Richard M. Heiberger, Burt Holland. 2015. Statistical Analysis and Data Display an Intermediate Course with Examples in r. Second Edition.