Second-order asymptotic expressions for the covariance matrix of maximum likelihood estimators in dispersion models

DOI10.1016/J.SPL.2009.12.030MaRDI QIDQ962033zbMATHOpenAlexFDO

Authors Andréa V. Rocha, Alexandre B. Simas, Gauss M. Cordeiro

Publication date 1 April 2010

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

Full work available at URL https://doi.org/10.1016/j.spl.2009.12.030

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Generalized linear models (logistic models) (62J12)

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• Exponential family nonlinear models
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• Second-order covariance matrix of maximum likelihood estimates in generalized linear models.
• Skewness of maximum likelihood estimators in dispersion models
• Statistical Analysis of Circular Data

Cited in

(13)

• Local power and size properties of the LR, Wald, score and gradient tests in dispersion models
• Second-order covariance matrix of maximum likelihood estimates in generalized linear models.
• A general expression for second-order covariance matrices -- an application to dispersion models
• Improved inference in dispersion models
• Covariance Matrix Formula for Generalized Linear Models with Unknown Dispersion
• Covariance matrix formula for Birnbaum-Saunders regression models
• Skewness of maximum likelihood estimators in dispersion models
• Bias-corrected estimators for dispersion models with dispersion covariates
• scientific article; zbMATH DE number 4088746 (Why is no real title available?)
• Covariance matrix of maximum likelihood estimators in censored exponential regression models
• Second-order minimax estimation of the mean value for exponential dispersion models
• Second-order covariance matrix formula for heteroskedastic generalized linear models
• Exponential dispersion models: second-order minimax estimation of the mean for unknown dispersion parameter

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