Summary
This paper establishes the asymptotic normality and the consistencyrobustness of the weighted least squares estimator (WLSE) in the generalized linear models with multiple nuisance scale parameters. In addition, noting that the asymptotic robust statistical inference in presence of nuisance scale parameters requires a consistency-robust estimator of the asymptotic covariance matrix of the WLSE, this paper derives a class of covariance estimators and proves their consistency-robustness.
References
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This research was supported by an operating grant from the Natural Science and Engineering Research Council of Canada and the United States NSF-AFOSR grant ISSA-860068
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Shao, J. Asymptotic theory in generalized ilinear models with nuisance scale parameters. Probab. Th. Rel. Fields 91, 25–41 (1992). https://doi.org/10.1007/BF01194488
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DOI: https://doi.org/10.1007/BF01194488
Keywords
- Covariance
- Linear Model
- Covariance Matrix
- Stochastic Process
- Generalize Linear Model