A Note on Extended Quasi-Likelihood

Abstract

We study the method of extended quasi-likelihood estimation and inference of a variance function recently proposed by Nelder & Pregibon (1987). The estimates are inconsistent in general, and the test levels can be biased, but in many cases such as the exponential family the inconsistency and bias will not be a major concern. Extended quasi-likelihood is compared with Carroll & Ruppert's (1982) pseudo-likelihood method, which gives consistent estimates and, when slightly modified, asymptotically unbiased tests. We quantify the showing in this instance that the two estimates are closely related and may be asymptotically equivalent in many important cases. However, in some cases outside the exponential family, an asymptotic bias can persist. Heteroscedastic regression model.

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1988
Accession Number
ADA198042

Entities

People

  • M. Davidian
  • R. J. Carroll

Organizations

  • Texas A&M University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Asymptotic Normality
  • Chemical Kinetics
  • Classification
  • Covariance
  • Data Science
  • Distribution Theory
  • Estimators
  • Gaussian Distributions
  • Information Science
  • Method Of Moments
  • New York
  • North Carolina
  • Random Variables
  • Statistical Algorithms
  • Statistics
  • Universities

Fields of Study

  • Mathematics

Readers

  • Computer Programming and Software Development.
  • Statistical inference.
  • Theoretical Analysis.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference
  • AI & ML - Machine Learning Algorithms