The phase transition for the existence of the maximum likelihood estimate in high-dimensional logistic regression
Emmanuel J. Candès, Pragya Sur
Abstract
This paper rigorously establishes that the existence of the maximum likelihood estimate (MLE) in high-dimensional logistic regression models with Gaussian covariates undergoes a sharp “phase transition.” We introduce an explicit boundary curve $h_{\mathrm{MLE}}$, parameterized by two scalars measuring the overall magnitude of the unknown sequence of regression coefficients, with the following property: in the limit of large sample sizes $n$ and number of features $p$ proportioned in such a way that $p/n\rightarrow \kappa $, we show that if the problem is sufficiently high dimensional in the sense that $\kappa >h_{\mathrm{MLE}}$, then the MLE does not exist with probability one. Conversely, if $\kappa <h_{\mathrm{MLE}}$, the MLE asymptotically exists with probability one.