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

被引：0

作者：

Tian Xia

Fan-chao Kong

机构：

[1] Yunnan Univ.,Dept. of Statist.

[2] Anhui Univ.,Dept. of Math.

来源：

Applied Mathematics-A Journal of Chinese Universities | 2008年 / 23卷

关键词：

maximum quasi-likelihood estimator; quasi-likelihood nonlinear models; strong consistency; 62F12; 62J02;

D O I：

暂无

中图分类号：

学科分类号：

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

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