ℓ_1-penalized Multinomial Regression: Estimation, inference, and prediction, with an application to risk factor identification for different dementia subtypes
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High-dimensional multinomial regression models are very useful in practice but receive less research attention than logistic regression models, especially from the perspective of statistical inference. In this work, we analyze the estimation and prediction error of the contrast-based ℓ_1-penalized multinomial regression model and extend the debiasing method to the multinomial case, which provides a valid confidence interval for each coefficient and p-value of the individual hypothesis test. We apply the debiasing method to identify some important predictors in the progression into dementia of different subtypes. Results of intensive simulations show the superiority of the debiasing method compared to some other inference methods.
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