L₂ differentiability of generalized linear models

DOI10.1016/J.SPL.2014.11.020MaRDI QIDQ2343646zbMATH OpenOpenAlexFDO

Authors Daria Pupashenko, P. Ruckdeschel, Matthias Kohl

Publication date 6 May 2015

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/1407.5798

zbMATH Keywords

\(L_2\)-differentiabilitygeneralized linear modelsshape scale modeltime series model for shape

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Generalized linear models (logistic models) (62J12)

Abstract: We derive conditions for $L_2$ differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions induce smoothness and integrability conditions for corresponding GLM-based time series models.

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Cited in

(2)

• Asymptotic linear expansion of regularized M-estimators
• Severity modeling of extreme insurance claims for tariffication

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