ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS

被引：1

作者：

YUE LI CHEN XIRU School of Mathematics and Statistics

机构：

来源：

Chinese Annals of Mathematics | 2005年 / 03期

基金：

中国国家自然科学基金;

关键词：

Quasi likelihood estimate; Generalized linear model; Asmptotically normal; Asymptotic normality;

D O I：

暂无

中图分类号：

O212 [数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

For the Generalized Linear Model (GLM), under some conditions including that the specification of the expectation is correct, it is shown that the Quasi Maximum Likelihood Estimate (QMLE) of the parameter-vector is asymptotic normal. It is also shown that the asymptotic covariance matrix of the QMLE reaches its minimum (in the positive-definte sense) in case that the specification of the covariance matrix is correct.

引用

页码：467 / 474

页数：8

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