Questions tagged [fisher-scoring]

A form of Newton's method used in statistics to solve maximum likelihood equations numerically [Wikipedia]

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396 views

Fisher information matrix in logistic regression

I am self-studying the basics of logistic regression. I came across this sentence: In logistic regression expected and observed information matrixes are equal I am aware that the information ...
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1answer
3k views

Why using Newton's method for logistic regression optimization is called iterative re-weighted least squares?

Why using Newton's method for logistic regression optimization is called iterative re-weighted least squares? It seems not clear to me because logistic loss and least squares loss are completely ...
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1answer
511 views

Variation in Fisher scoring compared with Newton-Raphson (logistic regression)

I have been trying to figure out the implementation in knime. The tool says it uses Fisher scoring (FS). I understand Newton Raphson-method from http://www.win-vector.com/blog/2011/09/the-simpler-...
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0answers
651 views

partial derivative of log likelihood function

I am trying to find $\partial/\partial \theta \log \ L $ where $L = \pi^y(1-\pi)^{1-y}, \pi = \frac{\exp(X \beta)}{1+\exp(X \beta)}, \ X$ is $ N(\mu,\sigma^2) \ \& \ y$ is binary. I first ...
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1answer
966 views

can you explicitly show me the first iteration of newton-raphson and fisher scoring?

I'm trying to understand the difference between the Newton-Raphson technique and the Fisher scoring technique by calculating the ...
7
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2answers
3k views

Fisher's score function has mean zero - what does that even mean?

I'm trying to follow the princeton review of likelihood theory. They define Fisher’s score function as The first derivative of the log-likelihood function, and they ...
2
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0answers
426 views

Fisher information matrix with a general covariance structure

For the linear model, general linear models which allow for a more general covariance structure $V(\theta)_{N\times N}=(I_{N}+\theta A_{N\times N})(I_{N}+\theta A_{N\times N})^{'}$ ,where $A_{N\times ...
5
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2answers
4k views

Implement Fisher Scoring for linear regression

I know there is an analytic solution to the following problem (OLS). Since I try to learn and understand the principles and basics of MLE, I implemented the fisher scoring algorithm for a simple ...
6
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0answers
888 views

Why is Fisher Scoring easier to compute?

In practice, the observed information matrix (Newton-Raphson) is usually replaced by its expectation, known as Fisher scoring. Link: https://en.wikipedia.org/wiki/Scoring_algorithm#Fisher_scoring ...
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1answer
4k views

Logistic regression: Fisher's scoring iterations do not match the selected iterations in glm

it happened to me that in a logistic regression in R with glm the Fisher scoring iterations in the output are less than the iterations selected with the argument <...
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2answers
864 views

Why do we make a big fuss about using Fisher scoring when we fit a GLM?

I'm curious about why we treat fitting GLMS as though they were some special optimization problem. Are they? It seems to me that they're just maximum likelihood, and that we write down the ...