Strong consistency of the maximum quasi-likelihood estimator in quasi-likelihood nonlinear models with stochastic regression

Tian Xia, Xuejun Jiang and Xueren Wang

Statistics & Probability Letters, 2015, vol. 103, issue C, 37-45

Abstract: This paper proposes some mild regularity conditions analogous to those given by Wu (1981) and Chang (1999). On the basis of the proposed regularity conditions, the strong consistency as well as convergence rate for maximum quasi-likelihood estimator (MQLE) is obtained in quasi-likelihood nonlinear models (QLNMs) with stochastic regression.

Keywords: Quasi-likelihood nonlinear models with stochastic regression; Strong consistency; Convergence rate; Maximum quasi-likelihood estimator (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spl.2015.04.016

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