| 广义线性回归拟似然估计的渐近正态性 |
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| 引用本文： | 高启兵,吴耀华. 广义线性回归拟似然估计的渐近正态性[J]. 系统科学与数学, 2005, 25(6): 738-745 |
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| 作者姓名： | 高启兵 吴耀华 |
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| 作者单位： | 1. 中国科学技术大学统计与金融系,合肥,230026;南京师范大学金融数学系,南京,210097
2. 中国科学技术大学统计与金融系,合肥,230026 |
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| 基金项目： | 国家自然科学基金(10171094,10271001,105271001)教育部博士点基金，中国科学院基金，中国科学技术大学创新基金，南京师范大学引进人才科研启动基金(2005101XGQ2B84)资助课题． |
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| 摘 要： | 研究了形如n∑i=1xi(yi-μ(xi′β))=0拟似然方程,在一定的条件下证明了拟似然估计βn的渐近正态性;并进一步证明了可用于β0大样本统计推断的渐近正态性结果．
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| 关 键 词： | 广义线性回归 拟似然估计 渐近正态性 |
| 修稿时间： | 2003-05-19 |
ASYMPTOTIC NORMALITY OF QUASI-MAXIMUM LIKELIHOOD ESTIMATOR IN GENERALIZED LINEAR MODELS |
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| Gao Qibing,Wu Yaohua. ASYMPTOTIC NORMALITY OF QUASI-MAXIMUM LIKELIHOOD ESTIMATOR IN GENERALIZED LINEAR MODELS[J]. Journal of Systems Science and Mathematical Sciences, 2005, 25(6): 738-745 |
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| Authors: | Gao Qibing Wu Yaohua |
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| Affiliation: | (1)Department of Statistics and Finance of USTC, Hefei 230026;Department of Financial Mathematics of Nanjing Normal University, Nanjing 210097;(2)Department of Statistics and Finance of USTC, Hefei 230026 |
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| Abstract: | This paper studies the quasi-likelihood equation $sumlimits_{i=1}^{n}x_i(y_i-mu(x_i^{'}beta))=0.$ Under certain conditions , we obtain the asymptotic normality of the quasi-maximum likelihood estimate $widehat{beta}_n$. Furthermore, we obtain an asymptotic normality result of $beta_0$, which canbe used in the practical statistical inference. |
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| Keywords: | Generalized linear models quasi-likelihood estimator asyptotic normality. |
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