| ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS |
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| 引用本文： | YUE Li,CHEN Xiru. ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS[J]. 数学年刊B辑(英文版), 2005, 26(3): 467-474 |
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| 作者姓名： | YUE Li CHEN Xiru |
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| 作者单位： | YUE LI CHEN XIRU School of Mathematics and Statistics，Wuhan University，Wuhan 430072，China. Graduate School of the Chinese Academy of Sciences，Beijing 100049，China. |
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| 基金项目： | Project supported by the National Natural Science Foundation of China. |
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| 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.
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| 关 键 词： | 准相估计 广义线性模型 渐近正则 期望纠正 |
| 收稿时间： | 2023-12-03 |
ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS |
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| YUE Li and CHEN Xiru. ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS[J]. Chinese Annals of Mathematics,Series B, 2005, 26(3): 467-474 |
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| Authors: | YUE Li and CHEN Xiru |
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| Affiliation: | 1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
2. Graduate School of the Chinese Academy of Sciences, Beijing 100049, China |
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| Abstract: | 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. |
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| Keywords: | Quasi likelihood estimate Generalized linear model Asmptotically normal Asymptotic normality |
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