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Quasi-Maximum Likelihood Estimators with Autoregressive in Generalized Linear Models Processes

The paper studies a generalized linear model（GLM）yt = h（xt^T β） ＋ εt,t = l,2,...,n,where ε1 = η1,ε1 =ρεt ＋ηt,t = 2,3,...;n,h is a continuous differentiable function,ηt＇s are independent and identically distributed random errors with zero mean and finite variance σ^2.Firstly,the quasi-maximum likelih... Full description

Journal Title: Acta mathematica Sinica. English series 2014 (12), p.2085-2102
Main Author: Hong Chang HU Lei SONG
Format: Electronic Article Electronic Article
Language: English
Subjects:
ML估计
广义线性模型
最大似然
极大似然估计
渐进性质
独立同分布
自回归
随机误差
ID: ISSN: 1439-8516
Zum Text:
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recordid: cdi_chongqing_primary_662964584
title: Quasi-Maximum Likelihood Estimators with Autoregressive in Generalized Linear Models Processes
format: Article
creator:
  • Hong Chang HU Lei SONG
subjects:
  • ML估计
  • 广义线性模型
  • 最大似然
  • 极大似然估计
  • 渐进性质
  • 独立同分布
  • 自回归
  • 随机误差
ispartof: Acta mathematica Sinica. English series, 2014 (12), p.2085-2102
description: The paper studies a generalized linear model（GLM）yt = h（xt^T β） ＋ εt,t = l,2,...,n,where ε1 = η1,ε1 =ρεt ＋ηt,t = 2,3,...;n,h is a continuous differentiable function,ηt＇s are independent and identically distributed random errors with zero mean and finite variance σ^2.Firstly,the quasi-maximum likelihood（QML） estimators of β,p and σ^2 are given.Secondly,under mild conditions,the asymptotic properties（including the existence,weak consistency and asymptotic distribution） of the QML estimators are investigated.Lastly,the validity of method is illuminated by a simulation example.
language: eng
source:
identifier: ISSN: 1439-8516
fulltext: no_fulltext
issn:
  • 1439-8516
  • 1439-7617
url: Link


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descriptionThe paper studies a generalized linear model（GLM）yt = h（xt^T β） ＋ εt,t = l,2,...,n,where ε1 = η1,ε1 =ρεt ＋ηt,t = 2,3,...;n,h is a continuous differentiable function,ηt＇s are independent and identically distributed random errors with zero mean and finite variance σ^2.Firstly,the quasi-maximum likelihood（QML） estimators of β,p and σ^2 are given.Secondly,under mild conditions,the asymptotic properties（including the existence,weak consistency and asymptotic distribution） of the QML estimators are investigated.Lastly,the validity of method is illuminated by a simulation example.
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6自回归
7随机误差
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0Generalized linear model, quasi-maximum likelihood estimator, autoregressive processes, weak consistency, asymptotic distribution
111-2039/O1
2The paper studies a generalized linear model（GLM）yt = h（xt^T β） ＋ εt,t = l,2,...,n,where ε1 = η1,ε1 =ρεt ＋ηt,t = 2,3,...;n,h is a continuous differentiable function,ηt＇s are independent and identically distributed random errors with zero mean and finite variance σ^2.Firstly,the quasi-maximum likelihood（QML） estimators of β,p and σ^2 are given.Secondly,under mild conditions,the asymptotic properties（including the existence,weak consistency and asymptotic distribution） of the QML estimators are investigated.Lastly,the validity of method is illuminated by a simulation example.
abstractThe paper studies a generalized linear model（GLM）yt = h（xt^T β） ＋ εt,t = l,2,...,n,where ε1 = η1,ε1 =ρεt ＋ηt,t = 2,3,...;n,h is a continuous differentiable function,ηt＇s are independent and identically distributed random errors with zero mean and finite variance σ^2.Firstly,the quasi-maximum likelihood（QML） estimators of β,p and σ^2 are given.Secondly,under mild conditions,the asymptotic properties（including the existence,weak consistency and asymptotic distribution） of the QML estimators are investigated.Lastly,the validity of method is illuminated by a simulation example.