Rate of strong consistency of quasi maximum likelihood estimate in generalized linear models

作     者：YUE Li & CHEN Xiru School of Mathematics and Statistics, Wuhan University, Wuhan 430072, China Graduate School, Chinese Academy of Sciences, Beijing 100039, China 

作者机构：School of Mathematics and Statistics Wuhan University Wuhan China Graduate School Chinese Academy of Sciences Beijing China 

出 版 物：《Science China Mathematics》 (中国科学：数学（英文版）)

年 卷 期：2004年第47卷第6期

页      面：882-893页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：This work was supported by the National Natural Science Foundation of China 

主　　题：quasi-likelihood function generalized linear models strong consistency 

摘      要：Under the assumption that in the generalized linear model (GLM) the expectation of the response variable has a correct specification and some other smooth conditions, it is shown that with probability one the quasi-likelihood equation for the GLM has a solution when the sample size n is sufficiently large. 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.