Covariance Matrix Formula for Generalized Linear Models with Unknown Dispersion

DOI10.1080/03610920500439687zbMATH Open1084.62062OpenAlexW1989962512MaRDI QIDQ5201477FDOQ5201477

Gauss M. Cordeiro, Lúcia P. Barroso, Denise A. Botter

Publication date: 19 April 2006

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

Full work available at URL: https://doi.org/10.1080/03610920500439687

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zbMATH Keywords

generalized linear modelcovariance matrixcanonical modeldispersion parametermaximum likelihood estimateprecision parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Multivariate distribution of statistics (62H10) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

Cites Work

• Second order asymptotics for score tests in generalised linear models
• SKEWNESS FOR PARAMETERS IN GENERALIZED LINEAR MODELS
• On the corrections to the likelihood ratio statistics
• Second-order covariance matrix of maximum likelihood estimates in generalized linear models.

Cited In (7)

• A general expression for second-order covariance matrices -- an application to dispersion models
• Covariance Matrix Formula for Exponential Family Nonlinear Models
• THREE RANK FORMULAS ASSOCIATED WITH THE COVARIANCE MATRICES OF THE BLUE AND THE OLSE IN THE GENERAL LINEAR MODEL
• Covariance matrix formula for Birnbaum–Saunders regression models
• Second-Order Covariance Matrix Formula for Heteroskedastic Generalized Linear Models
• Parametrizations, weights, and optimal prediction
• Covariance matrix of maximum likelihood estimators in censored exponential regression models

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