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Medientyp:
E-Artikel
Titel:
Mean Square Convergence Rates for Maximum Quasi-Likelihood Estimators
Beteiligte:
den Boer, Arnoud V.;
Zwart, Bert
Erschienen:
Institute for Operations Research and the Management Sciences (INFORMS), 2014
Erschienen in:
Stochastic Systems, 4 (2014) 2, Seite 375-403
Sprache:
Englisch
DOI:
10.1287/12-ssy086
ISSN:
1946-5238
Entstehung:
Anmerkungen:
Beschreibung:
In this note we study the behavior of maximum quasilikelihood estimators (MQLEs) for a class of statistical models, in which only knowledge about the first two moments of the response variable is assumed. This class includes, but is not restricted to, generalized linear models with general link function. Our main results are related to guarantees on existence, strong consistency and mean square convergence rates of MQLEs. The rates are obtained from first principles and are stronger than known a.s. rates. Our results find important application in sequential decision problems with parametric uncertainty arising in dynamic pricing.