广义线性模型中极大拟似然估计的强收敛速度

Abstract

Abstract:

In a generalized linear model with q×1 responses, bounded and fixed p×q regressors Z_i and general link function, under the moment
condition on responses as weak as possible and other conditions, the authors prove that with probability one, the quasi-likelihood equation has a solution βn for all large sample size n. 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. This result is an improvement over the relevant results in literature.

Key words: Generalized linear model, Maximum quasi-likelihood estimate, Strong consistency, , Strong convergence rate

CLC Number:

62F12

YIN Chang-Ming, LI Yong-Ming, WANG Peng-Yan. Strong Convergence Rates of the Maximum Quasi-Likelihood Estimator in Generalized Linear Models[J].Acta mathematica scientia,Series A, 2009, 29(4): 1058-1064.

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Strong Convergence Rates of the Maximum Quasi-Likelihood Estimator in Generalized Linear Models

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