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Rate of strong consistency of quasi maximum likelihood estimate in generalized linear models
Authors:Email author" target="_blank">Li?YueEmail author  Xiru?Chen
Institution:1. School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China
2. Graduate School, Chinese Academy of Sciences, Beijing 100039, China
Abstract:Under the assumption that in the generalized linear model (GLM) the expectation of the response variable has a correct specification and some other smooth conditions, it is shown that with probability one the quasi-likelihood equation for the GLM has a solution when the sample size n is sufficiently large. The rate of this solution tending to the true value is determined. In an important special case, this rate is the same as specified in the LIL for iid partial sums and thus cannot be improved anymore.
Keywords:quasi-likelihood function  generalized linear models  strong consistency  
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