The Annals of Statistics

Strong consistency of maximum quasi-likelihood estimators in generalized linear models with fixed and adaptive designs

Kani Chen, Inchi Hu, and Zhiliang Ying

Full-text: Open access

Abstract

Strong consistency for maximum quasi-likelihood estimators of regression parameters in generalized linear regression models is studied. Results parallel to the elegant work of Lai, Robbins and Wei and Lai and Wei on least squares estimation under both fixed and adaptive designs are obtained. Let $y_1,\dots, y_n$ and $x_1,\dots, x_n$ be the observed responses and their corresponding design points ($p \times 1$ vectors), respectively. For fixed designs, it is shown that if the minimum eigenvalue of $\Sigma x_i x^\prime_i$ goes to infinity, then the maximum quasi-likelihood estimator for the regression parameter vector is strongly consistent. For adaptive designs, it is shown that a sufficient condition for strong consistency to hold is that the ratio of the minimum eigenvalue of $\Sigma x_i \x^\prime_i$ to the logarithm of the maximum eigenvalues goes to infinity. Use of the results for the adaptive design case in quantal response experiments is also discussed.

Article information

Source
Ann. Statist., Volume 27, Number 4 (1999), 1155-1163.

Dates
First available in Project Euclid: 4 April 2002

Permanent link to this document
https://projecteuclid.org/euclid.aos/1017938919

Digital Object Identifier
doi:10.1214/aos/1017938919

Mathematical Reviews number (MathSciNet)
MR1740117

Zentralblatt MATH identifier
0957.62056

Subjects
Primary: 62F12: Asymptotic properties of estimators
Secondary: 62J05: Linear regression

Keywords
Generalized linear models maximum quasi-likelihood estimator exponential family strong consistency martingale difference fixed design adaptive design

Citation

Chen, Kani; Hu, Inchi; Ying, Zhiliang. Strong consistency of maximum quasi-likelihood estimators in generalized linear models with fixed and adaptive designs. Ann. Statist. 27 (1999), no. 4, 1155--1163. doi:10.1214/aos/1017938919. https://projecteuclid.org/euclid.aos/1017938919


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