New Methods to Reduce Bias and Mean Square Error of Maximum Likelihood Estimators

Award Information
Agency:
Department of Health and Human Services
Branch
n/a
Amount:
$106,212.00
Award Year:
2009
Program:
SBIR
Phase:
Phase I
Contract:
1R43RR023228-01
Award Id:
94081
Agency Tracking Number:
RR023228
Solicitation Year:
n/a
Solicitation Topic Code:
n/a
Solicitation Number:
n/a
Small Business Information
CYTEL SOFTWARE CORPORATION, 675 MASSACHUSETTS AVE, CAMBRIDGE, MA, 02139
Hubzone Owned:
N
Minority Owned:
N
Woman Owned:
N
Duns:
183012277
Principal Investigator:
PRALAYSENCHAUDHURI
(617) 661-2011
PRALAY@CYTEL.COM
Business Contact:
CYRUSMEHTA
() -
mehta@cytel.com
Research Institute:
n/a
Abstract
DESCRIPTION (provided by applicant): Logistic regression is the most frequently used model for binary data and has widespread applicability in the health, behavioral, and physical sciences. Over two thousand research papers were published in 1999 in which logistic regression was in the title of the paper or among the keywords. Maximum likelihood is the nearly universal method for computing estimates of regression coefficients in logistic regression models. These estimates are reliable for problems with la rge samples and when the proportion of responses is neither too small nor too large. However, it has been known for several years that maximum likelihood estimates can have high bias and mean square error for small, sparse or unbalanced datasets, with the latter referring to a considerable difference between the number of responses and non-responses. Exact logistic regression is a method invented by D. R. Cox that is often useful in such situations. However, exact logistic regression is computationally inte nsive and is limited in practice in terms of the size of datasets and the number of covariates that it can handle before running out of memory or taking an inordinate amount of computing time. D. Firth has developed a method for reducing bias and mean squa re error for logistic regression as well as other generalized regression models that is not as computationally demanding. Studies in the literature have shown that the method often improves on maximum likelihood. Firth's method is not available in any comm ercial software package today. We propose to incorporate Firth's method into LogXact, Cytel's regression package, as well as into PROC LOGXACT, a module that runs seamlessly as a part of the SAS software system. In addition to incorporating Firth's method for logistic regression we intend to develop it to apply to conditional logistic regression, ordered and unordered polytomous regression, Poisson regression and Negative Binomial regression. Firth's method does not perform well over certain ranges of model parameters in moderate sized samples in logistic regression. There are instances when it is worse than maximum likelihood. We have created a novel method that generalizes Firth's method to overcome this shortcoming. We propose to implement this me thod into LogXact and PROC LOGXACT. Under certain unusual conditions both maximum likelihood and Firth's method produce poor estimates for logistic regression. We have developed a diagnostic measure that identifies this situation and we will incorp orate this method as part of our generalization of Firth's method. We will also investigate a Bayesian estimator and the target estimator suggested by Cabrerra and Fernholz that have promise of performing well in this situation.

* information listed above is at the time of submission.

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