Asymptotic normality of quasi maximum likelihood estimate in generalized linear models

被引：3

作者：

Yue, L ^{[1
]}

Chen, XR

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China

[2] Chinese Acad Sci, Grad Sch, Beijing 100049, Peoples R China

来源：

CHINESE ANNALS OF MATHEMATICS SERIES B | 2005年 / 26卷 / 03期

关键词：

quasi likelihood estimate; generalized linear model; asmptotically normal; asymptotic normality;

D O I：

10.1142/S0252959905000373

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

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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