Logistic regression
In statistics, the logistic model is used to model the probability of a certain class or event existing such as pass/fail, win/lose, alive/dead or healthy/sick. This can be extended to model several classes of events such as determining whether an image contains a cat, dog, lion, etc. Each object being detected in the image would be assigned a probability between 0 and 1, with a sum of one.
Logistic regression is a statistical model that in its basic form uses a logistic function to model a binary dependent variable, although many more complex [|extensions] exist. In regression analysis, logistic regression is estimating the parameters of a logistic model. Mathematically, a binary logistic model has a dependent variable with two possible values, such as pass/fail which is represented by an indicator variable, where the two values are labeled "0" and "1". In the logistic model, the log-odds for the value labeled "1" is a linear combination of one or more independent variables ; the independent variables can each be a binary variable or a continuous variable. The corresponding probability of the value labeled "1" can vary between 0 and 1, hence the labeling; the function that converts log-odds to probability is the logistic function, hence the name. The unit of measurement for the log-odds scale is called a logit, from logistic unit, hence the alternative names. Analogous models with a different sigmoid function instead of the logistic function can also be used, such as the probit model; the defining characteristic of the logistic model is that increasing one of the independent variables multiplicatively scales the odds of the given outcome at a constant rate, with each independent variable having its own parameter; for a binary dependent variable this generalizes the odds ratio.
In a binary logistic regression model, the dependent variable has two levels. Outputs with more than two values are modeled by multinomial logistic regression and, if the multiple categories are ordered, by ordinal logistic regression. The logistic regression model itself simply models probability of output in terms of input and does not perform statistical classification, though it can be used to make a classifier, for instance by choosing a cutoff value and classifying inputs with probability greater than the cutoff as one class, below the cutoff as the other; this is a common way to make a binary classifier. The coefficients are generally not computed by a closed-form expression, unlike linear least squares; see. The logistic regression as a general statistical model was originally developed and popularized primarily by Joseph Berkson, beginning in, where he coined "logit"; see.
Applications
Logistic regression is used in various fields, including machine learning, most medical fields, and social sciences. For example, the Trauma and Injury Severity Score, which is widely used to predict mortality in injured patients, was originally developed by Boyd using logistic regression. Many other medical scales used to assess severity of a patient have been developed using logistic regression. Logistic regression may be used to predict the risk of developing a given disease, based on observed characteristics of the patient. Another example might be to predict whether a Nepalese voter will vote Nepali Congress or Communist Party of Nepal or Any Other Party, based on age, income, sex, race, state of residence, votes in previous elections, etc. The technique can also be used in engineering, especially for predicting the probability of failure of a given process, system or product. It is also used in marketing applications such as prediction of a customer's propensity to purchase a product or halt a subscription, etc. In economics it can be used to predict the likelihood of a person's choosing to be in the labor force, and a business application would be to predict the likelihood of a homeowner defaulting on a mortgage. Conditional random fields, an extension of logistic regression to sequential data, are used in natural language processing.Examples
Logistic model
Let us try to understand logistic regression by considering a logistic model with given parameters, then seeing how the coefficients can be estimated from data. Consider a model with two predictors, and, and one binary response variable, which we denote. We assume a linear relationship between the predictor variables and the log-odds of the event that. This linear relationship can be written in the following mathematical form :We can recover the odds by exponentiating the log-odds:
By simple algebraic manipulation, the probability that is
The above formula shows that once are fixed, we can easily compute either the log-odds that for a given observation, or the probability that for a given observation. The main use-case of a logistic model is to be given an observation, and estimate the probability that. In most applications, the base of the logarithm is usually taken to be e. However in some cases it can be easier to communicate results by working in base 2, or base 10.
We consider an example with, and coefficients,, and. To be concrete, the model is
where is the probability of the event that.
This can be interpreted as follows:
- is the y-intercept. It is the log-odds of the event that, when the predictors. By exponentiating, we can see that when the odds of the event that are 1-to-1000, or. Similarly, the probability of the event that when can be computed as.
- means that increasing by 1 increases the log-odds by. So if increases by 1, the odds that increase by a factor of. Note that the probability of has also increased, but it has not increased by as much as the odds have increased.
- means that increasing by 1 increases the log-odds by. So if increases by 1, the odds that increase by a factor of Note how the effect of on the log-odds is twice as great as the effect of, but the effect on the odds is 10 times greater. But the effect on the probability of is not as much as 10 times greater, it's only the effect on the odds that is 10 times greater.
Probability of passing an exam versus hours of study
To answer the following question:
A group of 20 students spends between 0 and 6 hours studying for an exam. How does the number of hours spent studying affect the probability of the student passing the exam?
The reason for using logistic regression for this problem is that the values of the dependent variable, pass and fail, while represented by "1" and "0", are not cardinal numbers. If the problem was changed so that pass/fail was replaced with the grade 0–100, then simple regression analysis could be used.
The table shows the number of hours each student spent studying, and whether they passed or failed.
Hours | 0.50 | 0.75 | 1.00 | 1.25 | 1.50 | 1.75 | 1.75 | 2.00 | 2.25 | 2.50 | 2.75 | 3.00 | 3.25 | 3.50 | 4.00 | 4.25 | 4.50 | 4.75 | 5.00 | 5.50 |
Pass | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 0 | 1 | 0 | 1 | 0 | 1 | 0 | 1 | 1 | 1 | 1 | 1 | 1 |
The graph shows the probability of passing the exam versus the number of hours studying, with the logistic regression curve fitted to the data.
The logistic regression analysis gives the following output.
Coefficient | Std.Error | z-value | P-value | |
Intercept | −4.0777 | 1.7610 | −2.316 | 0.0206 |
Hours | 1.5046 | 0.6287 | 2.393 | 0.0167 |
The output indicates that hours studying is significantly associated with the probability of passing the exam. The output also provides the coefficients for and. These coefficients are entered in the logistic regression equation to estimate the odds of passing the exam:
One additional hour of study is estimated to increase log-odds of passing by 1.5046, so multiplying odds of passing by The form with the x-intercept shows that this estimates even odds for a student who studies 2.71 hours.
For example, for a student who studies 2 hours, entering the value in the equation gives the estimated probability of passing the exam of 0.26:
Similarly, for a student who studies 4 hours, the estimated probability of passing the exam is 0.87:
This table shows the probability of passing the exam for several values of hours studying.
The output from the logistic regression analysis gives a p-value of, which is based on the Wald z-score. Rather than the Wald method, the recommended method to calculate the p-value for logistic regression is the likelihood-ratio test, which for this data gives.
Discussion
Logistic regression can be binomial, ordinal or multinomial. Binomial or binary logistic regression deals with situations in which the observed outcome for a dependent variable can have only two possible types, "0" and "1". Multinomial logistic regression deals with situations where the outcome can have three or more possible types that are not ordered. Ordinal logistic regression deals with dependent variables that are ordered.In binary logistic regression, the outcome is usually coded as "0" or "1", as this leads to the most straightforward interpretation. If a particular observed outcome for the dependent variable is the noteworthy possible outcome it is usually coded as "1" and the contrary outcome as "0". Binary logistic regression is used to predict the odds of being a case based on the values of the independent variables. The odds are defined as the probability that a particular outcome is a case divided by the probability that it is a noninstance.
Like other forms of regression analysis, logistic regression makes use of one or more predictor variables that may be either continuous or categorical. Unlike ordinary linear regression, however, logistic regression is used for predicting dependent variables that take membership in one of a limited number of categories rather than a continuous outcome. Given this difference, the assumptions of linear regression are violated. In particular, the residuals cannot be normally distributed. In addition, linear regression may make nonsensical predictions for a binary dependent variable. What is needed is a way to convert a binary variable into a continuous one that can take on any real value. To do that, binomial logistic regression first calculates the odds of the event happening for different levels of each independent variable, and then takes its logarithm to create a continuous criterion as a transformed version of the dependent variable. The logarithm of the odds is the of the probability, the is defined as follows:
Although the dependent variable in logistic regression is Bernoulli, the logit is on an unrestricted scale. The logit function is the link function in this kind of generalized linear model, i.e.
is the Bernoulli-distributed response variable and is the predictor variable; the values are the linear parameters.
The of the probability of success is then fitted to the predictors. The predicted value of the is converted back into predicted odds, via the inverse of the natural logarithm – the exponential function. Thus, although the observed dependent variable in binary logistic regression is a 0-or-1 variable, the logistic regression estimates the odds, as a continuous variable, that the dependent variable is a ‘success’. In some applications, the odds are all that is needed. In others, a specific yes-or-no prediction is needed for whether the dependent variable is or is not a ‘success’; this categorical prediction can be based on the computed odds of success, with predicted odds above some chosen cutoff value being translated into a prediction of success.
The assumption of linear predictor effects can easily be relaxed using techniques such as spline functions.
Logistic regression vs. other approaches
Logistic regression measures the relationship between the categorical dependent variable and one or more independent variables by estimating probabilities using a logistic function, which is the cumulative distribution function of logistic distribution. Thus, it treats the same set of problems as probit regression using similar techniques, with the latter using a cumulative normal distribution curve instead. Equivalently, in the latent variable interpretations of these two methods, the first assumes a standard logistic distribution of errors and the second a standard normal distribution of errors.Logistic regression can be seen as a special case of the generalized linear model and thus analogous to linear regression. The model of logistic regression, however, is based on quite different assumptions from those of linear regression. In particular, the key differences between these two models can be seen in the following two features of logistic regression. First, the conditional distribution is a Bernoulli distribution rather than a Gaussian distribution, because the dependent variable is binary. Second, the predicted values are probabilities and are therefore restricted to through the logistic distribution function because logistic regression predicts the probability of particular outcomes rather than the outcomes themselves.
Logistic regression is an alternative to Fisher's 1936 method, linear discriminant analysis. If the assumptions of linear discriminant analysis hold, the conditioning can be reversed to produce logistic regression. The converse is not true, however, because logistic regression does not require the multivariate normal assumption of discriminant analysis.
Latent variable interpretation
The logistic regression can be understood simply as finding the parameters that best fit:where is an error distributed by the standard logistic distribution.
The associated latent variable is. The error term is not observed, and so the is also an unobservable, hence termed "latent". Unlike ordinary regression, however, the parameters cannot be expressed by any direct formula of the and values in the observed data. Instead they are to be found by an iterative search process, usually implemented by a software program, that finds the maximum of a complicated "likelihood expression" that is a function of all of the observed and values. The estimation approach is explained below.
Logistic function, odds, odds ratio, and logit
Definition of the logistic function
An explanation of logistic regression can begin with an explanation of the standard logistic function. The logistic function is a sigmoid function, which takes any real input,, and outputs a value between zero and one; for the logit, this is interpreted as taking input log-odds and having output probability. The standard logistic function is defined as follows:A graph of the logistic function on the t-interval is shown in Figure 1.
Let us assume that is a linear function of a single explanatory variable . We can then express as follows:
And the general logistic function can now be written as:
In the logistic model, is interpreted as the probability of the dependent variable equaling a success/case rather than a failure/non-case. It's clear that the response variables are not identically distributed: differs from one data point to another, though they are independent given design matrix and shared parameters.
Definition of the inverse of the logistic function
We can now define the logit function as the inverse of the standard logistic function. It is easy to see that it satisfies:and equivalently, after exponentiating both sides we have the odds:
Interpretation of these terms
In the above equations, the terms are as follows:- is the logit function. The equation for illustrates that the logit is equivalent to the linear regression expression.
- denotes the natural logarithm.
- is the probability that the dependent variable equals a case, given some linear combination of the predictors. The formula for illustrates that the probability of the dependent variable equaling a case is equal to the value of the logistic function of the linear regression expression. This is important in that it shows that the value of the linear regression expression can vary from negative to positive infinity and yet, after transformation, the resulting expression for the probability ranges between 0 and 1.
- is the intercept from the linear regression equation.
- is the regression coefficient multiplied by some value of the predictor.
- base denotes the exponential function.
Definition of the odds
So we define odds of the dependent variable equaling a case as follows:
The odds ratio
For a continuous independent variable the odds ratio can be defined as:This exponential relationship provides an interpretation for : The odds multiply by for every 1-unit increase in x.
For a binary independent variable the odds ratio is defined as where a, b, c and d are cells in a 2×2 contingency table.
Multiple explanatory variables
If there are multiple explanatory variables, the above expression can be revised to. Then when this is used in the equation relating the log odds of a success to the values of the predictors, the linear regression will be a multiple regression with m explanators; the parameters for all j = 0, 1, 2,..., m are all estimated.Again, the more traditional equations are:
and
where usually.
Model fitting
Logistic regression is an important machine learning algorithm. The goal is to model the probability of a random variable being 0 or 1 given experimental data.Consider a generalized linear model function parameterized by,
Therefore,
and since, we see that is given by We now calculate the likelihood function assuming that all the observations in the sample are independently Bernoulli distributed,
Typically, the log likelihood is maximized,
which is maximized using optimization techniques such as gradient descent.
Assuming the pairs are drawn uniformly from the underlying distribution, then in the limit of large N,
where is the conditional entropy and is the Kullback–Leibler divergence. This leads to the intuition that by maximizing the log-likelihood of a model, you are minimizing the KL divergence of your model from the maximal entropy distribution. Intuitively searching for the model that makes the fewest assumptions in its parameters.
"Rule of ten"
A widely used rule of thumb, the "one in ten rule", states that logistic regression models give stable values for the explanatory variables if based on a minimum of about 10 events per explanatory variable ; where event denotes the cases belonging to the less frequent category in the dependent variable. Thus a study designed to use explanatory variables for an event expected to occur in a proportion of participants in the study will require a total of participants. However, there is considerable debate about the reliability of this rule, which is based on simulation studies and lacks a secure theoretical underpinning. According to some authors the rule is overly conservative, some circumstances; with the authors stating "If we regard confidence interval coverage less than 93 percent, type I error greater than 7 percent, or relative bias greater than 15 percent as problematic, our results indicate that problems are fairly frequent with 2–4 EPV, uncommon with 5–9 EPV, and still observed with 10–16 EPV. The worst instances of each problem were not severe with 5–9 EPV and usually comparable to those with 10–16 EPV".Others have found results that are not consistent with the above, using different criteria. A useful criterion is whether the fitted model will be expected to achieve the same predictive discrimination in a new sample as it appeared to achieve in the model development sample. For that criterion, 20 events per candidate variable may be required. Also, one can argue that 96 observations are needed only to estimate the model's intercept precisely enough that the margin of error in predicted probabilities is ±0.1 with an 0.95 confidence level.
Maximum likelihood estimation
The regression coefficients are usually estimated using maximum likelihood estimation. Unlike linear regression with normally distributed residuals, it is not possible to find a closed-form expression for the coefficient values that maximize the likelihood function, so that an iterative process must be used instead; for example Newton's method. This process begins with a tentative solution, revises it slightly to see if it can be improved, and repeats this revision until no more improvement is made, at which point the process is said to have converged.In some instances, the model may not reach convergence. Non-convergence of a model indicates that the coefficients are not meaningful because the iterative process was unable to find appropriate solutions. A failure to converge may occur for a number of reasons: having a large ratio of predictors to cases, multicollinearity, sparseness, or complete separation.
- Having a large ratio of variables to cases results in an overly conservative Wald statistic and can lead to non-convergence.
- Multicollinearity refers to unacceptably high correlations between predictors. As multicollinearity increases, coefficients remain unbiased but standard errors increase and the likelihood of model convergence decreases. To detect multicollinearity amongst the predictors, one can conduct a linear regression analysis with the predictors of interest for the sole purpose of examining the tolerance statistic used to assess whether multicollinearity is unacceptably high.
- Sparseness in the data refers to having a large proportion of empty cells. Zero cell counts are particularly problematic with categorical predictors. With continuous predictors, the model can infer values for the zero cell counts, but this is not the case with categorical predictors. The model will not converge with zero cell counts for categorical predictors because the natural logarithm of zero is an undefined value so that the final solution to the model cannot be reached. To remedy this problem, researchers may collapse categories in a theoretically meaningful way or add a constant to all cells.
- Another numerical problem that may lead to a lack of convergence is complete separation, which refers to the instance in which the predictors perfectly predict the criterion – all cases are accurately classified. In such instances, one should reexamine the data, as there is likely some kind of error.
- One can also take semi-parametric or non-parametric approaches, e.g., via local-likelihood or nonparametric quasi-likelihood methods, which avoid assumptions of a parametric form for the index function and is robust to the choice of the link function.
Iteratively reweighted least squares (IRLS)
where is a diagonal weighting matrix, the vector of expected values,
The regressor matrix and the vector of response variables. More details can be found in the literature.
Evaluating goodness of fit
in linear regression models is generally measured using R2. Since this has no direct analog in logistic regression, various methods including the following can be used instead.Deviance and likelihood ratio tests
In linear regression analysis, one is concerned with partitioning variance via the sum of squares calculations – variance in the criterion is essentially divided into variance accounted for by the predictors and residual variance. In logistic regression analysis, deviance is used in lieu of a sum of squares calculations. Deviance is analogous to the sum of squares calculations in linear regression and is a measure of the lack of fit to the data in a logistic regression model. When a "saturated" model is available, deviance is calculated by comparing a given model with the saturated model. This computation gives the likelihood-ratio test:In the above equation, represents the deviance and ln represents the natural logarithm. The log of this likelihood ratio will produce a negative value, hence the need for a negative sign. can be shown to follow an approximate chi-squared distribution. Smaller values indicate better fit as the fitted model deviates less from the saturated model. When assessed upon a chi-square distribution, nonsignificant chi-square values indicate very little unexplained variance and thus, good model fit. Conversely, a significant chi-square value indicates that a significant amount of the variance is unexplained.
When the saturated model is not available, deviance is calculated simply as −2·, and the reference to the saturated model's log likelihood can be removed from all that follows without harm.
Two measures of deviance are particularly important in logistic regression: null deviance and model deviance. The null deviance represents the difference between a model with only the intercept and the saturated model. The model deviance represents the difference between a model with at least one predictor and the saturated model. In this respect, the null model provides a baseline upon which to compare predictor models. Given that deviance is a measure of the difference between a given model and the saturated model, smaller values indicate better fit. Thus, to assess the contribution of a predictor or set of predictors, one can subtract the model deviance from the null deviance and assess the difference on a chi-square distribution with degrees of freedom equal to the difference in the number of parameters estimated.
Let
Then the difference of both is:
If the model deviance is significantly smaller than the null deviance then one can conclude that the predictor or set of predictors significantly improved model fit. This is analogous to the -test used in linear regression analysis to assess the significance of prediction.
Pseudo-²s
In linear regression the squared multiple correlation, ² is used to assess goodness of fit as it represents the proportion of variance in the criterion that is explained by the predictors. In logistic regression analysis, there is no agreed upon analogous measure, but there are several competing measures each with limitations.Four of the most commonly used indices and one less commonly used one are examined on this page:
- Likelihood ratio ²
- Cox and Snell ²
- Nagelkerke ²
- McFadden ²
- Tjur ²
This is the most analogous index to the squared multiple correlations in linear regression. It represents the proportional reduction in the deviance wherein the deviance is treated as a measure of variation analogous but not identical to the variance in linear regression analysis. One limitation of the likelihood ratio ² is that it is not monotonically related to the odds ratio, meaning that it does not necessarily increase as the odds ratio increases and does not necessarily decrease as the odds ratio decreases.
²CS is an alternative index of goodness of fit related to the ² value from linear regression. It is given by:
where and
Hosmer–Lemeshow test
The Hosmer–Lemeshow test uses a test statistic that asymptotically follows a distribution to assess whether or not the observed event rates match expected event rates in subgroups of the model population. This test is considered to be obsolete by some statisticians because of its dependence on arbitrary binning of predicted probabilities and relative low power.Coefficients
After fitting the model, it is likely that researchers will want to examine the contribution of individual predictors. To do so, they will want to examine the regression coefficients. In linear regression, the regression coefficients represent the change in the criterion for each unit change in the predictor. In logistic regression, however, the regression coefficients represent the change in the logit for each unit change in the predictor. Given that the logit is not intuitive, researchers are likely to focus on a predictor's effect on the exponential function of the regression coefficient – the odds ratio. In linear regression, the significance of a regression coefficient is assessed by computing a t test. In logistic regression, there are several different tests designed to assess the significance of an individual predictor, most notably the likelihood ratio test and the Wald statistic.Likelihood ratio test
The likelihood-ratio test discussed above to assess model fit is also the recommended procedure to assess the contribution of individual "predictors" to a given model. In the case of a single predictor model, one simply compares the deviance of the predictor model with that of the null model on a chi-square distribution with a single degree of freedom. If the predictor model has significantly smaller deviance, then one can conclude that there is a significant association between the "predictor" and the outcome. Although some common statistical packages do provide likelihood ratio test statistics, without this computationally intensive test it would be more difficult to assess the contribution of individual predictors in the multiple logistic regression case. To assess the contribution of individual predictors one can enter the predictors hierarchically, comparing each new model with the previous to determine the contribution of each predictor. There is some debate among statisticians about the appropriateness of so-called "stepwise" procedures. The fear is that they may not preserve nominal statistical properties and may become misleading.Wald statistic
Alternatively, when assessing the contribution of individual predictors in a given model, one may examine the significance of the Wald statistic. The Wald statistic, analogous to the t-test in linear regression, is used to assess the significance of coefficients. The Wald statistic is the ratio of the square of the regression coefficient to the square of the standard error of the coefficient and is asymptotically distributed as a chi-square distribution.Although several statistical packages report the Wald statistic to assess the contribution of individual predictors, the Wald statistic has limitations. When the regression coefficient is large, the standard error of the regression coefficient also tends to be larger increasing the probability of Type-II error. The Wald statistic also tends to be biased when data are sparse.
Case-control sampling
Suppose cases are rare. Then we might wish to sample them more frequently than their prevalence in the population. For example, suppose there is a disease that affects 1 person in 10,000 and to collect our data we need to do a complete physical. It may be too expensive to do thousands of physicals of healthy people in order to obtain data for only a few diseased individuals. Thus, we may evaluate more diseased individuals, perhaps all of the rare outcomes. This is also retrospective sampling, or equivalently it is called unbalanced data. As a rule of thumb, sampling controls at a rate of five times the number of cases will produce sufficient control data.Logistic regression is unique in that it may be estimated on unbalanced data, rather than randomly sampled data, and still yield correct coefficient estimates of the effects of each independent variable on the outcome. That is to say, if we form a logistic model from such data, if the model is correct in the general population, the parameters are all correct except for. We can correct if we know the true prevalence as follows:
where is the true prevalence and is the prevalence in the sample.
Formal mathematical specification
There are various equivalent specifications of logistic regression, which fit into different types of more general models. These different specifications allow for different sorts of useful generalizations.Setup
The basic setup of logistic regression is as follows. We are given a dataset containing N points. Each point i consists of a set of m input variables x1,i... xm,i, and a binary outcome variable Yi, i.e. it can assume only the two possible values 0 or 1. The goal of logistic regression is to use the dataset to create a predictive model of the outcome variable.Some examples:
- The observed outcomes are the presence or absence of a given disease in a set of patients, and the explanatory variables might be characteristics of the patients thought to be pertinent.
- The observed outcomes are the votes of a set of people in an election, and the explanatory variables are the demographic characteristics of each person. In such a case, one of the two outcomes is arbitrarily coded as 1, and the other as 0.
; Explanatory variables
As shown above in the above examples, the explanatory variables may be of any type: real-valued, binary, categorical, etc. The main distinction is between continuous variables and discrete variables. Discrete variables referring to more than two possible choices are typically coded using dummy variables, that is, separate explanatory variables taking the value 0 or 1 are created for each possible value of the discrete variable, with a 1 meaning "variable does have the given value" and a 0 meaning "variable does not have that value".
For example, a four-way discrete variable of blood type with the possible values "A, B, AB, O" can be converted to four separate two-way dummy variables, "is-A, is-B, is-AB, is-O", where only one of them has the value 1 and all the rest have the value 0. This allows for separate regression coefficients to be matched for each possible value of the discrete variable.
;Outcome variables
Formally, the outcomes Yi are described as being Bernoulli-distributed data, where each outcome is determined by an unobserved probability pi that is specific to the outcome at hand, but related to the explanatory variables. This can be expressed in any of the following equivalent forms:
The meanings of these four lines are:
- The first line expresses the probability distribution of each Yi: Conditioned on the explanatory variables, it follows a Bernoulli distribution with parameters pi, the probability of the outcome of 1 for trial i. As noted above, each separate trial has its own probability of success, just as each trial has its own explanatory variables. The probability of success pi is not observed, only the outcome of an individual Bernoulli trial using that probability.
- The second line expresses the fact that the expected value of each Yi is equal to the probability of success pi, which is a general property of the Bernoulli distribution. In other words, if we run a large number of Bernoulli trials using the same probability of success pi, then take the average of all the 1 and 0 outcomes, then the result would be close to pi. This is because doing an average this way simply computes the proportion of successes seen, which we expect to converge to the underlying probability of success.
- The third line writes out the probability mass function of the Bernoulli distribution, specifying the probability of seeing each of the two possible outcomes.
- The fourth line is another way of writing the probability mass function, which avoids having to write separate cases and is more convenient for certain types of calculations. This relies on the fact that Yi can take only the value 0 or 1. In each case, one of the exponents will be 1, "choosing" the value under it, while the other is 0, "canceling out" the value under it. Hence, the outcome is either pi or 1 − pi, as in the previous line.
The basic idea of logistic regression is to use the mechanism already developed for linear regression by modeling the probability pi using a linear predictor function, i.e. a linear combination of the explanatory variables and a set of regression coefficients that are specific to the model at hand but the same for all trials. The linear predictor function for a particular data point i is written as:
where are regression coefficients indicating the relative effect of a particular explanatory variable on the outcome.
The model is usually put into a more compact form as follows:
- The regression coefficients β0, β1,..., βm are grouped into a single vector β of size m + 1.
- For each data point i, an additional explanatory pseudo-variable x0,i is added, with a fixed value of 1, corresponding to the intercept coefficient β0.
- The resulting explanatory variables x0,i, x1,i,..., xm,i are then grouped into a single vector Xi of size m + 1.
using the notation for a dot product between two vectors.
As a generalized linear model
The particular model used by logistic regression, which distinguishes it from standard linear regression and from other types of regression analysis used for binary-valued outcomes, is the way the probability of a particular outcome is linked to the linear predictor function:Written using the more compact notation described above, this is:
This formulation expresses logistic regression as a type of generalized linear model, which predicts variables with various types of probability distributions by fitting a linear predictor function of the above form to some sort of arbitrary transformation of the expected value of the variable.
The intuition for transforming using the logit function was explained above. It also has the practical effect of converting the probability to a variable that ranges over — thereby matching the potential range of the linear prediction function on the right side of the equation.
Note that both the probabilities pi and the regression coefficients are unobserved, and the means of determining them is not part of the model itself. They are typically determined by some sort of optimization procedure, e.g. maximum likelihood estimation, that finds values that best fit the observed data, usually subject to regularization conditions that seek to exclude unlikely values, e.g. extremely large values for any of the regression coefficients. The use of a regularization condition is equivalent to doing maximum a posteriori estimation, an extension of maximum likelihood. Whether or not regularization is used, it is usually not possible to find a closed-form solution; instead, an iterative numerical method must be used, such as iteratively reweighted least squares or, more commonly these days, a quasi-Newton method such as the L-BFGS method.
The interpretation of the βj parameter estimates is as the additive effect on the log of the odds for a unit change in the j the explanatory variable. In the case of a dichotomous explanatory variable, for instance, gender is the estimate of the odds of having the outcome for, say, males compared with females.
An equivalent formula uses the inverse of the logit function, which is the logistic function, i.e.:
The formula can also be written as a probability distribution :
As a latent-variable model
The above model has an equivalent formulation as a latent-variable model. This formulation is common in the theory of discrete choice models and makes it easier to extend to certain more complicated models with multiple, correlated choices, as well as to compare logistic regression to the closely related probit model.Imagine that, for each trial i, there is a continuous latent variable Yi* that is distributed as follows:
where
i.e. the latent variable can be written directly in terms of the linear predictor function and an additive random error variable that is distributed according to a standard logistic distribution.
Then Yi can be viewed as an indicator for whether this latent variable is positive:
The choice of modeling the error variable specifically with a standard logistic distribution, rather than a general logistic distribution with the location and scale set to arbitrary values, seems restrictive, but in fact, it is not. It must be kept in mind that we can choose the regression coefficients ourselves, and very often can use them to offset changes in the parameters of the error variable's distribution. For example, a logistic error-variable distribution with a non-zero location parameter μ is equivalent to a distribution with a zero location parameter, where μ has been added to the intercept coefficient. Both situations produce the same value for Yi* regardless of settings of explanatory variables. Similarly, an arbitrary scale parameter s is equivalent to setting the scale parameter to 1 and then dividing all regression coefficients by s. In the latter case, the resulting value of Yi* will be smaller by a factor of s than in the former case, for all sets of explanatory variables — but critically, it will always remain on the same side of 0, and hence lead to the same Yi choice.
It turns out that this formulation is exactly equivalent to the preceding one, phrased in terms of the generalized linear model and without any latent variables. This can be shown as follows, using the fact that the cumulative distribution function of the standard logistic distribution is the logistic function, which is the inverse of the logit function, i.e.
Then:
This formulation—which is standard in discrete choice models—makes clear the relationship between logistic regression and the probit model, which uses an error variable distributed according to a standard normal distribution instead of a standard logistic distribution. Both the logistic and normal distributions are symmetric with a basic unimodal, "bell curve" shape. The only difference is that the logistic distribution has somewhat heavier tails, which means that it is less sensitive to outlying data.
Two-way latent-variable model
Yet another formulation uses two separate latent variables:where
where EV1 is a standard type-1 extreme value distribution: i.e.
Then
This model has a separate latent variable and a separate set of regression coefficients for each possible outcome of the dependent variable. The reason for this separation is that it makes it easy to extend logistic regression to multi-outcome categorical variables, as in the multinomial logit model. In such a model, it is natural to model each possible outcome using a different set of regression coefficients. It is also possible to motivate each of the separate latent variables as the theoretical utility associated with making the associated choice, and thus motivate logistic regression in terms of utility theory. This is the approach taken by economists when formulating discrete choice models, because it both provides a theoretically strong foundation and facilitates intuitions about the model, which in turn makes it easy to consider various sorts of extensions.
The choice of the type-1 extreme value distribution seems fairly arbitrary, but it makes the mathematics work out, and it may be possible to justify its use through rational choice theory.
It turns out that this model is equivalent to the previous model, although this seems non-obvious, since there are now two sets of regression coefficients and error variables, and the error variables have a different distribution. In fact, this model reduces directly to the previous one with the following substitutions:
An intuition for this comes from the fact that, since we choose based on the maximum of two values, only their difference matters, not the exact values — and this effectively removes one degree of freedom. Another critical fact is that the difference of two type-1 extreme-value-distributed variables is a logistic distribution, i.e. We can demonstrate the equivalent as follows:
Example
As an example, consider a province-level election where the choice is between a right-of-center party, a left-of-center party, and a secessionist party. We would then use three latent variables, one for each choice. Then, in accordance with utility theory, we can then interpret the latent variables as expressing the utility that results from making each of the choices. We can also interpret the regression coefficients as indicating the strength that the associated factor has in contributing to the utility — or more correctly, the amount by which a unit change in an explanatory variable changes the utility of a given choice. A voter might expect that the right-of-center party would lower taxes, especially on rich people. This would give low-income people no benefit, i.e. no change in utility ; would cause moderate benefit for middle-incoming people; would cause significant benefits for high-income people. On the other hand, the left-of-center party might be expected to raise taxes and offset it with increased welfare and other assistance for the lower and middle classes. This would cause significant positive benefit to low-income people, perhaps a weak benefit to middle-income people, and significant negative benefit to high-income people. Finally, the secessionist party would take no direct actions on the economy, but simply secede. A low-income or middle-income voter might expect basically no clear utility gain or loss from this, but a high-income voter might expect negative utility since he/she is likely to own companies, which will have a harder time doing business in such an environment and probably lose money.These intuitions can be expressed as follows:
Center-right | Center-left | Secessionist | |
High-income | strong + | strong − | strong − |
Middle-income | moderate + | weak + | none |
Low-income | none | strong + | none |
This clearly shows that
- Separate sets of regression coefficients need to exist for each choice. When phrased in terms of utility, this can be seen very easily. Different choices have different effects on net utility; furthermore, the effects vary in complex ways that depend on the characteristics of each individual, so there need to be separate sets of coefficients for each characteristic, not simply a single extra per-choice characteristic.
- Even though income is a continuous variable, its effect on utility is too complex for it to be treated as a single variable. Either it needs to be directly split up into ranges, or higher powers of income need to be added so that polynomial regression on income is effectively done.
As a "log-linear" model
Here, instead of writing the logit of the probabilities pi as a linear predictor, we separate the linear predictor into two, one for each of the two outcomes:
Note that two separate sets of regression coefficients have been introduced, just as in the two-way latent variable model, and the two equations appear a form that writes the logarithm of the associated probability as a linear predictor, with an extra term at the end. This term, as it turns out, serves as the normalizing factor ensuring that the result is a distribution. This can be seen by exponentiating both sides:
In this form it is clear that the purpose of Z is to ensure that the resulting distribution over Yi is in fact a probability distribution, i.e. it sums to 1. This means that Z is simply the sum of all un-normalized probabilities, and by dividing each probability by Z, the probabilities become "normalized". That is:
and the resulting equations are
Or generally:
This shows clearly how to generalize this formulation to more than two outcomes, as in multinomial logit.
Note that this general formulation is exactly the softmax function as in
In order to prove that this is equivalent to the previous model, note that the above model is overspecified, in that and cannot be independently specified: rather so knowing one automatically determines the other. As a result, the model is nonidentifiable, in that multiple combinations of β0 and β1 will produce the same probabilities for all possible explanatory variables. In fact, it can be seen that adding any constant vector to both of them will produce the same probabilities:
As a result, we can simplify matters, and restore identifiability, by picking an arbitrary value for one of the two vectors. We choose to set Then,
and so
which shows that this formulation is indeed equivalent to the previous formulation.
Note that most treatments of the multinomial logit model start out either by extending the "log-linear" formulation presented here or the two-way latent variable formulation presented above, since both clearly show the way that the model could be extended to multi-way outcomes. In general, the presentation with latent variables is more common in econometrics and political science, where discrete choice models and utility theory reign, while the "log-linear" formulation here is more common in computer science, e.g. machine learning and natural language processing.
As a single-layer perceptron
The model has an equivalent formulationThis functional form is commonly called a single-layer perceptron or single-layer artificial neural network. A single-layer neural network computes a continuous output instead of a step function. The derivative of pi with respect to X = is computed from the general form:
where f is an analytic function in X. With this choice, the single-layer neural network is identical to the logistic regression model. This function has a continuous derivative, which allows it to be used in backpropagation. This function is also preferred because its derivative is easily calculated:
In terms of binomial data
A closely related model assumes that each i is associated not with a single Bernoulli trial but with ni independent identically distributed trials, where the observation Yi is the number of successes observed, and hence follows a binomial distribution:An example of this distribution is the fraction of seeds that germinate after ni are planted.
In terms of expected values, this model is expressed as follows:
so that
Or equivalently:
This model can be fit using the same sorts of methods as the above more basic model.
Bayesian
In a Bayesian statistics context, prior distributions are normally placed on the regression coefficients, usually in the form of Gaussian distributions. There is no conjugate prior of the likelihood function in logistic regression. When Bayesian inference was performed analytically, this made the posterior distribution difficult to calculate except in very low dimensions. Now, though, automatic software such as OpenBUGS, JAGS, PyMC3 or Stan allows these posteriors to be computed using simulation, so lack of conjugacy is not a concern. However, when the sample size or the number of parameters is large, full Bayesian simulation can be slow, and people often use approximate methods such as variational Bayesian methods and expectation propagation.History
A detailed history of the logistic regression is given in. The logistic function was developed as a model of population growth and named "logistic" by Pierre François Verhulst in the 1830s and 1840s, under the guidance of Adolphe Quetelet; see for details. In his earliest paper, Verhulst did not specify how he fit the curves to the data. In his more detailed paper, Verhulst determined the three parameters of the model by making the curve pass through three observed points, which yielded poor predictions.The logistic function was independently developed in chemistry as a model of autocatalysis. An autocatalytic reaction is one in which one of the products is itself a catalyst for the same reaction, while the supply of one of the reactants is fixed. This naturally gives rise to the logistic equation for the same reason as population growth: the reaction is self-reinforcing but constrained.
The logistic function was independently rediscovered as a model of population growth in 1920 by Raymond Pearl and Lowell Reed, published as, which led to its use in modern statistics. They were initially unaware of Verhulst's work and presumably learned about it from L. Gustave du Pasquier, but they gave him little credit and did not adopt his terminology. Verhulst's priority was acknowledged and the term "logistic" revived by Udny Yule in 1925 and has been followed since. Pearl and Reed first applied the model to the population of the United States, and also initially fitted the curve by making it pass through three points; as with Verhulst, this again yielded poor results.
In the 1930s, the probit model was developed and systematized by Chester Ittner Bliss, who coined the term "probit" in, and by John Gaddum in, and the model fit by maximum likelihood estimation by Ronald A. Fisher in, as an addendum to Bliss's work. The probit model was principally used in bioassay, and had been preceded by earlier work dating to 1860; see. The probit model influenced the subsequent development of the logit model and these models competed with each other.
The logistic model was likely first used as an alternative to the probit model in bioassay by Edwin Bidwell Wilson and his student Jane Worcester in. However, the development of the logistic model as a general alternative to the probit model was principally due to the work of Joseph Berkson over many decades, beginning in, where he coined "logit", by analogy with "probit", and continuing through and following years. The logit model was initially dismissed as inferior to the probit model, but "gradually achieved an equal footing with the logit", particularly between 1960 and 1970. By 1970, the logit model achieved parity with the probit model in use in statistics journals and thereafter surpassed it. This relative popularity was due to the adoption of the logit outside of bioassay, rather than displacing the probit within bioassay, and its informal use in practice; the logit's popularity is credited to the logit model's computational simplicity, mathematical properties, and generality, allowing its use in varied fields.
Various refinements occurred during that time, notably by David Cox, as in.
The multinomial logit model was introduced independently in and, which greatly increased the scope of application and the popularity of the logit model. In 1973 Daniel McFadden linked the multinomial logit to the theory of discrete choice, specifically Luce's choice axiom, showing that the multinomial logit followed from the assumption of independence of irrelevant alternatives and interpreting odds of alternatives as relative preferences; this gave a theoretical foundation for the logistic regression.
Extensions
There are large numbers of extensions:- Multinomial logistic regression handles the case of a multi-way categorical dependent variable. Note that the general case of having dependent variables with more than two values is termed polytomous regression.
- Ordered logistic regression handles ordinal dependent variables.
- Mixed logit is an extension of multinomial logit that allows for correlations among the choices of the dependent variable.
- An extension of the logistic model to sets of interdependent variables is the conditional random field.
- Conditional logistic regression handles matched or stratified data when the strata are small. It is mostly used in the analysis of observational studies.
Software
- SPSS
- * for basic logistic regression.
- Stata
- SAS
- * for basic logistic regression.
- * when all the variables are categorical.
- * for multilevel model logistic regression.
- R
- *
glm
in the stats package - *
lrm
in the - * GLMNET package for an efficient implementation regularized logistic regression
- * lmer for mixed effects logistic regression
- * Rfast package command
gm_logistic
for fast and heavy calculations involving large scale data. - * arm package for bayesian logistic regression
- Python
- * in the Statsmodels module.
- * in the Scikit-learn module.
- * in the TensorFlow module.
- * Full example of logistic regression in the Theano tutorial
- * Bayesian Logistic Regression with ARD prior ,
- * Variational Bayes Logistic Regression with ARD prior ,
- * Bayesian Logistic Regression ,
- NCSS
- *
- Matlab
- *
mnrfit
in the Statistics and Machine Learning Toolbox - *
fminunc/fmincon, fitglm, mnrfit, fitclinear, mle
can all do logistic regression. - Java
- *LibLinear
- *
- *Apache Spark
- **SparkML supports Logistic Regression
- FPGA
- * in HLS for FPGA.