Adaptive quasi-likelihood estimate in generalized linear models
Adaptive quasi-likelihood estimate in generalized linear models
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DOI：
10.1360/03ys0369
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发表时间：
2005-06
影响因子：
1.4
通讯作者：
C. Xiru
中科院分区：
文献类型：
--
作者：
C. Xiru
本文对广义线性模型中参数的自适应拟似然估计进行了全面的理论探讨。响应变量的未知协方差矩阵通过样本进行估计。结果表明，本文所定义的自适应估计量在渐近正态的意义下是渐近最有效的，并且当响应变量的协方差矩阵完全已知时，极限分布的协方差矩阵与拟似然估计量的协方差矩阵一致。
This paper gives a thorough theoretical treatment on the adaptive quasi-likelihood estimate of the parameters in the generalized linear models. The unknown covariance matrix of the response variable is estimated by the sample. It is shown that the adaptive estimator defined in this paper is asymptotically most efficient in the sense that it is asymptotic normal, and the covariance matrix of the limit distribution coincides with the one for the quasi-likelihood estimator for the case that the covariance matrix of the response variable is completely known.