Rate of strong consistency of the maximum quasi-likelihood estimator in quasi-likelihood nonlinear models |
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| Authors: | Tian Xia Fan-chao Kong |
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| Affiliation: | [1]Dept. of Statist., Yunnan Univ., Kunming 650091, China [2]Dept. of Math., Anhui Univ,, Hefei 230039, China |
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| Abstract: | 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. |
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| Keywords: | maximum quasi-likelihood estimator quasi-likelihood nonlinear models strong consistency |
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