| ASYMPTOTIC PROPERTIES OF MLE IN EXPONENTIAL FAMILY NONLINEAR MODELS |
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| 作者姓名： | ZHU Zhongyi WEI Bocheng |
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| 作者单位： | Department of Mathematics，Southeast University，Nanjing 210096，China |
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| 摘 要： | 1.IntroductionSupposethattherandomvariablesyi5y2,',y.areindependentandeachyihasdensity:withrespecttoaa-finitemeasurev,whereb,c,]areknownl'unctions;fiisaknownq-vectordefinedinX,Pistheunknownp-vectorparameterdefinedinB,oiisthenaturalparameter,andaisascaleparameter.Then(1)iscalledtheexponentialfamilynonlinear..dels2]whicharenaturalextensionofgeneralizedlinearmodelsandnormalnonlinearmodels.Inthispaper,wegeneralizetheasymptoticresultof1]and3,4]toexponentialfamilynonlinearmodels.Section2gives…
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ASYMPTOTIC PROPERTIES OF MLE IN EXPONENTIAL FAMILY NONLINEAR MODELS |
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| ZHU Zhongyi, WEI Bocheng.ASYMPTOTIC PROPERTIES OF MLE IN EXPONENTIAL FAMILY NONLINEAR MODELS[J].Journal of Systems Science and Complexity,1997(3). |
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| Authors: | ZHU Zhongyi WEI Bocheng |
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| Abstract: | In this paper, a necessary condition for the existence of any weakly consistentestimator is presented in exponential family nonlinear models. Then we give one morenecessary condition for a consistent estimator in generalized linear models. Under mildregularity conditions, the existence, the strong consistency and the asymptotic normalityof MLE are proved in exponential family nonlinear models. Our results may be regardedas a further work of 1] in generalized linear models. |
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| Keywords: | Exponential family nonlinear models consistency asymptotic normality maximum likelihood estimator Fisher information matrix |
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