Profile Likelihood Confidence Interval for the Probability of a Success in the Firth’s Logistic Regression

Kamil Fijorek

doi:https://doi.org/10.59139/ps.2012.04.1

Kamil Fijorek Uniwersytet Ekonomiczny w Krakowie Przegląd Statystyczny. Statistical Review, vol. 59, 2012, 4, pages: 355-368 Published online: 31 December 2012 DOI https://doi.org/10.59139/ps.2012.04.1

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ARTICLE

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ABSTRACT

In the first part of the paper the results of the simulation study, comparing the coverage properties of Wald’s and the profile likelihood confidence intervals for the probability of a success in the Firth’s logistic regression, are described. The efficient algorithm for computing profile likelihood confidence intervals is proposed. In the second part of the paper the theoretical results are applied to the bankruptcy model.

KEYWORDS

logistic regression, confidence intervals, profile likelihood

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