OPTIMAL ESTIMATING FUNCTIONS AND WEDDERBURN QUASI-LIKELIHOOD

There are two ingerence methods which can be considered as developed from the classical least squares and maximum likelihood methods. One was put forward by Wedderburn (1974) and is called the quasi-likelihood method. Another was introduced by Godambe and others from the viewpoint of the estimating functions. This method is also called quasi-likelihood although there are some differences between these two methods. In order to clarify the relationship, this paper provides a unified discussion of the two methods from the viewpoint of estimating functions.