Journal
BIOMETRIKA
Volume 98, Issue 3, Pages 755-759Publisher
OXFORD UNIV PRESS
DOI: 10.1093/biomet/asr026
Keywords
Jeffreys prior; Leverage; Logistic linear regression; Poisson trick
Funding
- U.K. Engineering and Physical Sciences Research Council
- EPSRC [EP/G056323/1] Funding Source: UKRI
- Economic and Social Research Council [RES-576-25-5020] Funding Source: researchfish
- Engineering and Physical Sciences Research Council [EP/G056323/1] Funding Source: researchfish
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For the parameters of a multinomial logistic regression, it is shown how to obtain the bias-reducing penalized maximum likelihood estimator by using the equivalent Poisson log-linear model. The calculation needed is not simply an application of the Jeffreys prior penalty to the Poisson model. The development allows a simple and computationally efficient implementation of the reduced-bias estimator, using standard software for generalized linear models.
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