Corpus ID: 210920399

The Asymptotic Distribution of the MLE in High-dimensional Logistic Models: Arbitrary Covariance.

@inproceedings{Zhao2020TheAD,
  title={The Asymptotic Distribution of the MLE in High-dimensional Logistic Models: Arbitrary Covariance.},
  author={Qian Zhao and Pragya Sur and Emmanuel J. Cand{\`e}s},
  year={2020}
}
  • Qian Zhao, Pragya Sur, Emmanuel J. Candès
  • Published 2020
  • Mathematics
  • We study the distribution of the maximum likelihood estimate (MLE) in high-dimensional logistic models, extending the recent results from Sur (2019) to the case where the Gaussian covariates may have an arbitrary covariance structure. We prove that in the limit of large problems holding the ratio between the number $p$ of covariates and the sample size $n$ constant, every finite list of MLE coordinates follows a multivariate normal distribution. Concretely, the $j$th coordinate $\hat {\beta}_j… CONTINUE READING

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