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

被引：7

作者：

Cordeiro, GM ^{[1
]}

机构：

[1] Univ Fed Rural Pernambuco, Dept Fis & Matemat, BR-52030090 Recife, PE, Brazil

来源：

STATISTICS & PROBABILITY LETTERS | 2004年 / 66卷 / 02期

关键词：

asymptotic expansion; canonical model; link function; precision parameter; variance function;

D O I：

10.1016/j.spl.2003.10.010

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：

In this paper, we derive a simple matrix formula for second-order covariances of maximum likelihood estimates in generalized linear models. The formula covers many important and commonly used models and is also simple enough to be used algebraically to obtain closed-form expressions in special models. The practical use of this formula is illustrated in a simulation study. (C) 2003 Elsevier B.V. All rights reserved.

引用

页码：153 / 160

页数：8

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