ASYMPTOTIC NORMALITY OF QUASI MAXIMUM LIKELIHOOD ESTIMATE IN GENERALIZED LINEAR MODELS

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.

作 者： Yue Li CHEN Xiru   作者單位： Yue Li(School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China)

CHEN Xiru(Graduate School of the Chinese Academy of Sciences, Beijing 100049, China) 

刊 名： 數(shù)學(xué)年刊B輯（英文版）  ISTIC SCI 英文刊名： CHINESE ANNALS OF MATHEMATICS,SERIES B  年，卷(期)： 2005 26(3)  分類號： O1  關(guān)鍵詞： Quasi likelihood estimate   Generalized linear model   Asmptotically normal   Asymptotic normality  

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