M-estimation of the mixed-type generalized linear model

• Autorzy: Dong Y. , Song L. , Wang M. , Amin M.

Identyfikatory

DOI

10.19195/0208-4147.38.1.11

• Języki publikacji: EN

Abstrakty

EN

To investigate the features of the individual from the mixed-type model, a novel model, named the mixed-type generalized linear model, is proposed firstly in this work, which is verified to be realistic and useful. We consider the robustness of M-estimation to estimate the unknown parameters of the mixed-type generalized linear model. By applying the law of large numbers and the central limit theorem, the consistency and asymptotic normality of the M-estimation for the mixed-type generalized linear model are proved with regularity assumptions. At last, in order to evaluate the finite sample performance of the estimator for the new model, several applied instances are presented, which show the good performance of the estimator.

Słowa kluczowe

EN

asymptotic normality; consistency; M-estimation; mixed-type generalized linear model

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2018
• Tom: Vol. 38, Fasc. 1
• Strony: 209--223
• Opis fizyczny: Bibliogr. 16 poz., tab.

Twórcy

autor

Dong Y.

• Faculty of Science, Dalian Minzu University, Dalian, 116600, P.R. China

autor

Song L.

• School of Mathematical Sciences, Dalian University of Technology, Dalian, 116023, P.R. China

autor

Wang M.

• School of Mathematical Sciences, Qufu Normal University, Shandong, Qufu, 273165, P.R. China

autor

Amin M.

• Nuclear Institute for Food and Agriculture, 446, Peshawar, Pakistan

Bibliografia

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• [11] P. McCullagh and J. A. Nelder, Generalized Linear Models, second edition, Chapman and Hall, London 1989.
• [12] N. Muler and V. J. Yohai, Robust estimates for ARCH processes, J. Time Series Anal. 23 (2002), pp. 79-109.
• [13] J. A. Nelder and R. W. M. Wedderburn, Generalized linear models, J. Roy. Statist. Soc. Ser. B 135 (1972), pp. 370-384.
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• [16] V. J. Yohai and R. A. Maronna, Asymptotic behavior of M-estimators for the linear model, Ann. Statist. 2 (1979), pp. 258-268.

Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).