Consistency and asymptotic normality of the maximum likelihood estimates in reproductive dispersion linear models

被引：3

作者：

Xia, Tian ^{[1
]}

Tang, Nian-Sheng ^{[1
]}

Wang, Xue-Ren ^{[1
]}

机构：

[1] Yunnan Univ, Dept Stat, Kunming 650091, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2006年 / 76卷 / 11期

基金：

中国国家自然科学基金;

关键词：

asymptotic normality; consistency; maximum likelihood estimate; reproductive dispersion linear model;

D O I：

10.1016/j.spl.2005.12.016

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Reproductive dispersion linear models (RDLMs) include generalized linear model [Nelder and Wedderburn (1972). Generalized linear models. J. Roy. Statist. Soc. Ser. A 135, 370-384] as a special case. Some mild regularity conditions analogous to those given by Fahrmeir and Kaufmann [1985. Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models. Ann. Statist. 13, 342-368] are proposed. On the basis of the proposed mild conditions, the existence, weak consistency, strong consistency, and asymptotic normality of the maximum likelihood estimate (MLE) are provided in RDLMs. The asymptotic results of Fahrmeir and Kaufmann [1985. Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models. Ann. Statist. 13, 342-368] are generalized to RDLMs. (C) 2006 Elsevier B.V. All rights reserved.

引用

页码：1137 / 1146

页数：10

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