| ITERATIVE QUASI-LIKELIHOOD FOR SEEMINGLY UNRELATED REGRESSION SYSTEMS |
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| 作者姓名： | LIN Lu FAN Yunzheng DU Jun YUAN Yuan |
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| 作者单位： | LIN Lu FAN YUNZHENG DU JUN YUAN YUAN School of Mathematics and System Sciences，Shandong University，Jinan 250100，Shandong，China. School of Mathematics and System Sciences，Shandong University，Jinan 250100，Shandong，China; Department of Mathematics，Nantong University，Nantong 226007，Jiangsu，China. School of Mathematical Sciences，Nankai University，Tianjin 300071，China. |
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| 基金项目： | Project supported by the National Natural Science Foundation of China (No.10371059, No.10171051). |
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| 摘 要： | In the seemingly unrelated regression systems, the existing quasi-likelihood is always involved in the difficult problem of calculating inverse of a high order matrix specially for large systems. To avoid this problem, the new quasi-likelihood proposed in this paper is based mainly on a linearly iterative process of some unbiased estimating functions. Some finite sample properties and asymptotic behaviours for this new quasi-likelihood are investigated. These results show that the new quasi-likelihood for parameter of interest is E-sufficient, iteratively efficient and approximately efficient. Some examples are given to illustrate the theoretical results.
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| 关 键 词： | 表面不相干衰退系统 准-相 偏估计函数 数理统计 |
| 收稿时间： | 4/4/2026 12:00:00 AM |
| 修稿时间： | 2025/10/4 0:00:00 |
ITERATIVE QUASI-LIKELIHOOD FOR SEEMINGLY UNRELATED REGRESSION SYSTEMS |
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| LIN Lu,FAN Yunzheng,DU Jun,YUAN Yuan.ITERATIVE QUASI-LIKELIHOOD FOR SEEMINGLY UNRELATED REGRESSION SYSTEMS[J].Chinese Annals of Mathematics,Series B,2005,26(3):335-346. |
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| Authors: | LIN Lu FAN Yunzheng DU Jun and YUAN Yuan |
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| Institution: | School of Mathematics and System Sciences, Shandong University, Jinan 250100, Shandong, China.;School of Mathematics and System Sciences, Shandong University, Jinan 250100, Shandong, China; Department of Mathematics, Nantong University, Nantong 226007, Jiangsu, China.;School of Mathematical Sciences, Nankai University, Tianjin 300071, China.;School of Mathematical Sciences, Nankai University, Tianjin 300071, China. |
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| Abstract: | In the seemingly unrelated regression systems, the existing quasi-likelihood is always involved in the difficult problem of calculating inverse of a high order matrix specially for large systems. To avoid this problem, the new quasi-likelihood proposed in this paper is based mainly on a linearly iterative process of some unbiased estimating functions. Some finite sample properties and asymptotic behaviours for this new quasi-likelihood are investigated. These results show that the new quasi-likelihood for parameter of interest is E-sufficient, iteratively efficient and approximately efficient. Some examples are given to illustrate the theoretical results. |
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| Keywords: | Seemingly unrelated regression system Quasi-likelihood Unbiased estimating function |
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