Second-order covariance matrix of maximum likelihood estimates in generalized linear models

In this paper, we derive a simple matrix formula for second-order covariances of maximum likelihood estimates in generalized linear models. The formula covers many important and commonly used models and is also simple enough to be used algebraically to obtain closed-form expressions in special models. The practical use of this formula is illustrated in a simulation study.

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Year of publication:	2004
Authors:	Cordeiro, Gauss M.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 66.2004, 2, p. 153-160
Publisher:	Elsevier
Keywords:	Asymptotic Expansion Canonical Model Link function Precision parameter Variance function

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005223890