Christian Peters

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

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 $p\in[1, \infty)$. The $p$-generalized normal dis…