logistic regression - university of toronto · the logistic regression curve arises from an...
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Logistic Regression
STA2101/442 F 2017
See last slide for copyright information
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Binary outcomes are common and important
• The patient survives the operation, or does not. • The accused is convicted, or is not. • The customer makes a purchase, or does not. • The marriage lasts at least five years, or does not. • The student graduates, or does not.
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Logistic Regression
Response variable is binary (Bernoulli): 1=Yes, 0=No
Pr{Y = 1|X = x} = E(Y |X = x) = ⇡
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Least Squares vs. Logistic Regression
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The logistic regression curve arises from an indirect representation of the probability of Y=1 for a given set of x values. Representing the probability of an event by
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• If P(Y=1)=1/2, odds = .5/(1-.5) = 1 (to 1) • If P(Y=1)=2/3, odds = 2 (to 1) • If P(Y=1)=3/5, odds = (3/5)/(2/5) = 1.5
(to 1) • If P(Y=1)=1/5, odds = .25 (to 1)
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The higher the probability, the greater the odds
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Linear regression model for the log odds of the event Y=1
for i = 1, …, n
log
✓⇡
1� ⇡
◆= �0 + �1x1 + . . .+ �p�1xp�1
Note ⇡ is a conditional probability.
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Equivalent Statements
log
✓⇡
1� ⇡
◆= �0 + �1x1 + . . .+ �p�1xp�1
⇡
1� ⇡= e�0+�1x1+...+�p�1xp�1
= e�0e�1x1 · · · e�p�1xp�1 ,
⇡ =e�0+�1x1+...+�p�1xp�1
1 + e�0+�1x1+...+�p�1xp�1.
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• A distinctly non-linear function • Non-linear in the betas • So logistic regression is an example of
non-linear regression.
E(Y |x) = ⇡ =e�0+�1x1+...+�p�1xp�1
1 + e�0+�1x1+...+�p�1xp�1
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F (x) = ex
1+ex is called the logistic distribution.
• Could use any cumulative distribution function:
• CDF of the standard normal used to be popular
• Called probit analysis • Can be closely approximated with a
logistic regression.
⇡ = F (�0 + �1x1 + . . .+ �p�1xp�1)
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In terms of log odds, logistic regression is like regular
regression
log
✓⇡
1� ⇡
◆= �0 + �1x1 + . . .+ �p�1xp�1
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In terms of plain odds,
• (Exponential function of) the logistic regression coefficients are odds ratios
• For example, “Among 50 year old men, the odds of being dead before age 60 are three times as great for smokers.”
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Logistic regression
• X=1 means smoker, X=0 means non-smoker
• Y=1 means dead, Y=0 means alive
• Log odds of death =
• Odds of death =
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Cancer Therapy Example
x is severity of disease
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For any given disease severity x,
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In general,
• When xk is increased by one unit and all other explanatory variables are held constant, the odds of Y=1 are multiplied by
• That is, is an odds ratio --- the ratio of the odds of Y=1 when xk is increased by one unit, to the odds of Y=1 when everything is left alone.
• As in ordinary regression, we speak of “controlling” for the other variables.
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The conditional probability of Y=1
This formula can be used to calculate a predicted P(Y=1|x). Just replace betas by their estimates
It can also be used to calculate the probability of getting the sample data values we actually did observe, as a function of the betas.
⇡i
=e�0+�1xi,1+...+�p�1xi,p�1
1 + e�0+�1xi,1+...+�p�1xi,p�1
=ex
>i �
1 + ex>i �
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Likelihood Function
L(�) =nY
i=1
P (Yi = yi|xi) =nY
i=1
⇡yii (1� ⇡i)
1�yi
=nY
i=1
ex
>i �
1 + ex>i �
!yi 1� ex
>i �
1 + ex>i �
!1�yi
=nY
i=1
ex
>i �
1 + ex>i �
!yi ✓1
1 + ex>i �
◆1�yi
=nY
i=1
eyix>i �
1 + ex>i �
=ePn
i=1 yix>i �
Qni=1
⇣1 + ex
>i �⌘
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Maximum likelihood estimation • Likelihood = Conditional probability of getting
the data values we did observe, • As a function of the betas • Maximize the (log) likelihood with respect to
betas. • Maximize numerically (“Iteratively re-weighted
least squares”) • Likelihood ratio, Wald tests as usual • Divide regression coefficients by estimated
standard errors to get Z-tests of H0: βj=0. • These Z-tests are like the t-tests in ordinary
regression.
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Copyright Information
This slide show was prepared by Jerry Brunner, Department of Statistics, University of Toronto. It is licensed under a Creative Commons Attribution - ShareAlike 3.0 Unported License. Use any part of it as you like and share the result freely. These Powerpoint slides are available from the course website: http://www.utstat.toronto.edu/brunner/oldclass/appliedf17