L2 differentiability of generalized linear models

Daria Pupashenko, Peter Ruckdeschel and Matthias Kohl

Statistics & Probability Letters, 2015, vol. 97, issue C, 155-164

Abstract: We derive conditions for L2 differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions induce smoothness and integrability conditions for corresponding GLM-based time series models.

Keywords: Generalized linear models; L2-differentiability; Shape scale model; Time series model for shape (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2014.11.020

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