Criteria for estimating the variance function used in the asymptotic quasi-likelihood approach

Sifa Mvoi and Yan-Xia Lin

Journal of Applied Statistics, 2000, vol. 27, issue 3, 347-362

Abstract: The estimation of the variance function of a linear regression model used in the asymptotic quasi-likelihood approach is considered. It is shown that the variance function used in the determination of the asymptotic quasi-likelihood estimates encompasses the variance functions commonly found in the literature. Selection criteria of the most appropriate estimate of the variance function for given data are established. These criteria are based on a graphical technique and a chi-squared test.

Date: 2000
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DOI: 10.1080/02664760021655

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