Finite sample behavior of the maximum likelihood estimator in the Poisson model under Gaussian design

Abstract

We study the maximum likelihood estimation of the coefficient {\beta} in well-specified Poisson regression. Using tools from empirical process theory and random conic geometry, we show that the probability of existence of the maximum likelihood estimator (MLE) exhibits a sharp phase transition at the threshold n>d. We then determine a minimum threshold exponential in the norm of {\beta} on the sample size n to guarantee with high probability an excess risk of the asymptotic order d/n. We reveal the existence of an intermediate regime in Poisson regression, when n is larger than d but smaller than this exponential threshold, where the MLE exists but does not achieve the optimal rate d/n. We close the gap between the two regimes up to a d^{1+\epsilon} term with {\epsilon} \in (0, 1) by providing an upper bound on the distance between the MLE and {\beta} whenever n>d^{1+\epsilon}. Along the way, we provide two generalizations of well-known PAC-Bayes inequalities regarding sub-Gamma random vectors and sub-Gamma random matrices that are of independent interest and that we use extensively to prove the main results of the present paper.