Second-order covariance matrix of maximum likelihood estimates in generalized linear models.

DOI10.1016/J.SPL.2003.10.010zbMath1104.62079OpenAlexW2046510739MaRDI QIDQ1423028

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Publication date: 14 February 2004

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2003.10.010

zbMATH Keywords

Link functionAsymptotic ExpansionCanonical ModelPrecision parameterVariance function

Mathematics Subject Classification ID

Point estimation (62F10) Generalized linear models (logistic models) (62J12)

Related Items (7)

Covariance matrix of maximum likelihood estimators in censored exponential regression models ⋮ Covariance Matrix Formula for Exponential Family Nonlinear Models ⋮ Second-order asymptotic expressions for the covariance matrix of maximum likelihood estimators in dispersion models ⋮ Second-Order Covariance Matrix Formula for Heteroskedastic Generalized Linear Models ⋮ Covariance Matrix Formula for Generalized Linear Models with Unknown Dispersion ⋮ Covariance matrix of the bias-corrected maximum likelihood estimator in generalized linear models ⋮ Covariance matrix formula for Birnbaum–Saunders regression models

Uses Software

• Fahrmeir

Cites Work

• Consistency and asymptotic normality of the maximum likelihood estimator in generalized linear models
• Multivariate statistical modelling based on generalized linear models. With contributions by Wolfgang Hennevogl
• On the corrections to the likelihood ratio statistics
• SKEWNESS FOR PARAMETERS IN GENERALIZED LINEAR MODELS
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