Logistic regression#

An outline#

  1. Random component: \(Y_i\) follows \(Bernoulli(\pi_i)\) with mean \(\mathbb{E}[Y_i] = \pi_i\) (Summary or Wikipedia).

    For \(i\)-th individual,

\[ Pr(Y_i = y_i|\mathbf{X}\boldsymbol{\beta}) = \left\{ \begin{array}{ @{}% no padding l@{\quad}% some padding r@{}% no padding >{{}}r@{}% no padding >{{}}l@{}% no padding } \pi_i , & y_i = 1 \\ 1- \pi_i , & y_i = 0 \end{array} \right. \]

or

\[ Pr(Y_i = y_i|\mathbf{X}\boldsymbol{\beta}) = \pi^{y_i}_i(1-\pi_i)^{(1-y_i)} \]

Where, \(\boldsymbol{\pi}\) is responsible probability vector.

  1. Systematic component: covariate \(\mathbf{x}_1,\mathbf{x}_2,\cdots,\mathbf{x}_p\) produce a linear predictor \(\boldsymbol{\eta}\) given by

\[\boldsymbol{\eta} = \sum_{j=1}^p \mathbf{x}_j \beta_j = \mathbf{X}\boldsymbol{\beta}\]
  1. Link function: \(g(.)\) :

\[g(\pi_i) = \eta_i = \sum_{j=1}^p \mathbf{x}_{ij} \beta_j\]

Common used link function:

  1. the logit or logistic function \(g(\pi) = log\{\pi/ (1-\pi)\} = log(odds)\)

Therefore,

\[ \begin{align} &log(\frac{\pi_i}{1-\pi_i}) = \sum_{j=1}^p \mathbf{x}_{ij} \beta_j \\ & \equiv \pi_i = \frac{e^{\sum_{j=1}^p \mathbf{x}_{ij}\beta_j}}{1+e^{\sum_{j=1}^p \mathbf{x}_{ij}\beta_j} } \end{align} \]

Simulate logistic regression#

Simulating a Logistic Regression Model using R

test it

Derivative#

Based on \(Pr(Y_i|\mathbf{X}\boldsymbol{\beta}) = \pi^{y_i}_i(1-\pi_i)^{(1-y_i)}\), we have

\[ \begin{align} L(\theta) = \prod_{i=1}^n Pr(Y_i|\mathbf{X}\boldsymbol{\beta}) = \prod_{i=1}^n \pi^{y_i}_i(1-\pi_i)^{(1-y_i)} \end{align} \]

its log-likelihood is

\[ \begin{align} \ell(\theta) & = log \bigg \{ \prod_{i=1}^n \pi^{y_i}_i(1-\pi_i)^{(1-y_i)} \bigg \} \\ & = \sum^{n}_{i=1} \bigg \{ y_i log(\pi_i) + (1-y_i)log(1-\pi_i) \bigg\} \\ & = \sum^{n}_{i=1} \bigg \{log(1-\pi_i) + y_i log(\frac{\pi_i}{1-\pi_i}) \bigg\} \end{align} \]

The derivative is

\[ \begin{align} \frac{\partial\ell(\theta)}{\partial\beta_j} & = \frac{\partial\ell(\theta)}{\partial\pi_j} \frac{\partial\pi_j}{\partial\beta_j} \\ & = \sum^{n}_{i=1} \bigg \{ - \frac{e^{\sum_{j=1}^p \mathbf{x}_{ij}\beta_j}}{(1+e^{\sum_{j=1}^p \mathbf{x}_{ij}\beta_j})} \mathbf{x}_{ij} + y_i\mathbf{x}_{ij} \bigg\} \end{align} \]