Orthogonality of the mean and error distribution in generalized linear models

DOI10.1080/03610926.2013.851241zbMATH Open1368.62215arXiv1606.01604OpenAlexW3104886613WikidataQ55136099 ScholiaQ55136099MaRDI QIDQ4976210FDOQ4976210

Authors: Alan Huang, Paul J. Rathouz 

Publication date: 27 July 2017

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Abstract: We show that the mean-model parameter is always orthogonal to the error distribution in generalized linear models. Thus, the maximum likelihood estimator of the mean-model parameter will be asymptotically efficient regardless of whether the error distribution is known completely, known up to a finite vector of parameters, or left completely unspecified, in which case the likelihood is taken to be an appropriate semiparametric likelihood. Moreover, the maximum likelihood estimator of the mean-model parameter will be asymptotically independent of the maximum likelihood estimator of the error distribution. This generalizes some well-known results for the special cases of normal, gamma and multinomial regression models, and, perhaps more interestingly, suggests that asymptotically efficient estimation and inferences can always be obtained if the error distribution is nonparametrically estimated along with the mean. In contrast, estimation and inferences using misspecified error distributions or variance functions are generally not efficient.

Full work available at URL: https://arxiv.org/abs/1606.01604

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zbMATH Keywords

regression modelsemiparametric modelnuisance tangent space

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12)

Cites Work

• Title not available (Why is that?)
• Semiparametric theory and missing data.
• Parameter Orthogonality and Bias Adjustment for Estimating Functions
• INTERPRETATION OF THE QUASI-LIKELIHOOD VIA THE TILTED EXPONENTIAL FAMILY

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• Finite mixtures of mean-parameterized Conway-Maxwell-Poisson models
• A fast look-up method for Bayesian mean-parameterised Conway-Maxwell-Poisson regression models
• Mean-parametrized Conway–Maxwell–Poisson regression models for dispersed counts
• Generalized case‐control sampling under generalized linear models
• Smooth tests of goodness of fit for the distributional assumption of regression models
• Inference in Error Orthogonal Models
• Finite mixtures of mean-parameterized Conway-Maxwell-Poisson regressions

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