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Consistency of logistic regression coefficient estimates calculated from a training sample

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  • Hadjicostas, Petros

Abstract

The paper deals with logistic regression when the sample is split into training and holdout sub-samples. Under the assumption that, asymptotically, the ratio of the sizes of the two sub-samples is approximately fixed, we prove that the logistic regression coefficient MLEs calculated from the training sample are consistent.

Suggested Citation

  • Hadjicostas, Petros, 2003. "Consistency of logistic regression coefficient estimates calculated from a training sample," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 293-303, April.
    • Handle: RePEc:eee:stapro:v:62:y:2003:i:3:p:293-303
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    References listed on IDEAS

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    1. Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September.
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