The logit and probit link functions are arguably the two most common choices for binary regression models. Many studies have extended the choice of link functions to avoid possible misspecification and to improve the model fit to the data. We introduce the p-generalized Gaussian distribution (p-GGD) to binary regression in a Bayesian framework. The p-GGD has received considerable attention due to its flexibility in modeling the tails, while generalizing, for instance, over the standard normal distribution where \(p=2\) or the Laplace distribution where \(p=1\) . Here, we extend from maximum likelihood estimation (MLE) to Bayesian posterior estimation using Markov Chain Monte Carlo (MCMC) sampling for the model parameters \(\beta\) and the link function parameter p. We use simulated and real-world data to verify the effect of different parameters p on the estimation results, and how logistic regression and probit regression can be incorporated into a broader framework. To make our Bayesian methods scalable in the case of large data, we also incorporate coresets to reduce the data before running the complex and time-consuming MCMC analysis. This allows us to perform very efficient calculations while retaining the original posterior parameter distributions up to little distortions both, in practice, and with theoretical guarantees.
