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

Gauss M. Cordeiro

Statistics & Probability Letters, 2004, vol. 66, issue 2, 153-160

Abstract: 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.

Keywords: Asymptotic; Expansion; Canonical; Model; Link; function; Precision; parameter; Variance; function (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (2)

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