p-Generalized Probit Regression and Scalable Maximum Likelihood Estimation via Sketching and Coresets

Code

• github.com/cxan96/efficient-probit-regression
  OfficialIn papernone★ 4

Abstract

We study the p-generalized probit regression model, which is a generalized linear model for binary responses. It extends the standard probit model by replacing its link function, the standard normal cdf, by a p-generalized normal distribution for p[1, ). The p-generalized normal distributions Sub23 are of special interest in statistical modeling because they fit much more flexibly to data. Their tail behavior can be controlled by choice of the parameter p, which influences the model's sensitivity to outliers. Special cases include the Laplace, the Gaussian, and the uniform distributions. We further show how the maximum likelihood estimator for p-generalized probit regression can be approximated efficiently up to a factor of (1+) on large data by combining sketching techniques with importance subsampling to obtain a small data summary called coreset.

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