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| ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS |
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Citation： |
YUE Li,CHEN Xiru.ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS[J].Chinese Annals of Mathematics B,2005,26(3):467~474 |
| Page view： 1308
Net amount： 1023 |
Authors： |
YUE Li; CHEN Xiru |
Foundation： |
Project supported by the National Natural Science Foundation of 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. |
Keywords： |
Quasi likelihood estimate, Generalized linear model, Asmptotically normal, Asymptotic normality |
Classification： |
62J05 |
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