Does likelihood ratio test control for overfitting?

I have two nested logistic regression models, A and B. A is nested under B. Let’s say B has K more features than A. B has a higher log likelihood than A. However the improved likelihood of B is due to the fact that the K features easily overfit the data. If I apply the likelihood ratio test in my case, it suggests that the more complicated model, B, has a significant improvement. So I think that likelihood ratio test is flawed in such a case.

  • How can we determine whether the added features cause the overfitting problem?
  • Does likelihood ratio test always return the correct answer?


Your reasoning is too pessimistic.

Given the K additional features, the LR test statistic will follow an asymptotic χ2 distribution with K degrees of freedom if the null is true (and other auxiliary assumptions, e.g., a suitable regression setting, weak dependence assumptions etc.), i.e., if the additional predictors in B are just noise features that lead to “overfitting”.

The figure below plots the 0.95%-quantiles of the χ2K distribution as a function of K, i.e. the value that the LR statistic needs to exceed to reject the null that A is the “good” model.

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As you can see, higher and higher values of the test statistic are needed the larger your set in B that “overfits” the data. So the test suitably makes it more difficult for the (inevitable) better fit (or log-likelihood) of the larger model to be judged “sufficiently” large to reject model A.

Of course, for any given application of the test, you might get spurious overfitting that is so “good” that you still falsely reject the null. This “type-I” error is however inherent in any statistical test, and will occur in about 5% of the cases in which the null is true if (like in the figure) we use the 95%-quantiles of the test’s null distribution as our critical values.

Source : Link , Question Author : czxttkl , Answer Author : Christoph Hanck

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