Rate of strong consistency of quasi maximum likelihood estimate in generalized linear models
Rate of strong consistency of quasi maximum likelihood estimate in generalized linear models
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DOI：
10.1360/03ys0096
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发表时间：
2004-11
期刊：
影响因子：
--
通讯作者：
Lili Yue;Xiru Chen
中科院分区：
文献类型：
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作者：
Lili Yue;Xiru Chen
在广义线性模型（GLM）中响应变量的期望具有正确的规格和其它一些光滑条件的假设下，证明了当样本量n足够大时，GLM的拟似然方程在概率为1时有解.确定了该解趋于真值的速率。在一个重要的特殊情况下，该速率与LIL中针对iid部分和指定的速率相同，因此不能再提高。
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.