Rate of strong consistency of the maximum quasi-likelihood estimator in quasi-likelihood nonlinear models

被引：2

作者：

Xia Tian ^{[1
]}

Kong Fan-chao ^{[2
]}

机构：

[1] Yunnan Univ, Dept Stat, Kunming 650091, Peoples R China

[2] Anhui Univ, Dept Math, Hefei 230039, Peoples R China

来源：

APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2008年 / 23卷 / 04期

关键词：

D O I：

10.1007/s11766-008-1898-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

Quasi-likelihood nonlinear models (QLNM) include generalized linear models as a special case. Under some regularity conditions, the rate of the strong consistency of the maximum quasi-likelihood estimation (MQLE) is obtained in QLNM. In an important case, this rate is O(n(-1/2)(loglogn)(1/2)), which is just the rate of LIL of partial sums for i.i.d variables, and thus cannot be improved anymore.

引用

页码：391 / 400

页数：10

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