Asymptotic Properties of Quasi-Maximum Likelihood Estimates in Generalized Linear Models

2011 ◽  
Vol 40 (24) ◽  
pp. 4417-4430 ◽  
Author(s):  
Sanguo Zhang ◽  
Yuan Liao ◽  
Wei Ning
Keyword(s):  
Maximum Likelihood ◽  
Generalized Linear Models ◽  
Linear Models ◽  
Asymptotic Properties ◽  
Maximum Likelihood Estimates ◽  
Quasi Maximum Likelihood

scholarly journals Hypothesis Testing in Generalized Linear Models with Functional Coefficient Autoregressive Processes

2012 ◽  
Vol 2012 ◽  
pp. 1-19
Author(s):  
Lei Song ◽  
Hongchang Hu ◽  
Xiaosheng Cheng
Keyword(s):  
Maximum Likelihood ◽  
Hypothesis Testing ◽  
Likelihood Ratio ◽  
Generalized Linear Models ◽  
Linear Models ◽  
Autoregressive Processes ◽  
Pseudo Likelihood ◽  
Quasi Maximum Likelihood ◽  
Functional Coefficient

The paper studies the hypothesis testing in generalized linear models with functional coefficient autoregressive (FCA) processes. The quasi-maximum likelihood (QML) estimators are given, which extend those estimators of Hu (2010) and Maller (2003). Asymptotic chi-squares distributions of pseudo likelihood ratio (LR) statistics are investigated.

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