Covariance Matrix Formula for Exponential Family Nonlinear Models

This article gives a matrix formula for second-order covariances of maximum likelihood estimators in exponential family nonlinear models, thus generalizing the result of Cordeiro ( 2004 ) valid for generalized linear models with known dispersion parameter. Some simulations show that the second-order...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2008-07, Vol.37 (17), p.2724-2734
Main Authors: Cordeiro, Gauss M., Santana, Rosangela G.
Format: Article
Language:English
Subjects:
Covariance matrix
Exact sciences and technology
Exponential family
General topics
Generalized linear model
Mathematics
Maximum likelihood estimator
Nonlinear model
Primary 62FXX
Probability and statistics
Sampling theory, sample surveys
Sciences and techniques of general use
Secondary 62F12
Statistics
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Summary:This article gives a matrix formula for second-order covariances of maximum likelihood estimators in exponential family nonlinear models, thus generalizing the result of Cordeiro ( 2004 ) valid for generalized linear models with known dispersion parameter. Some simulations show that the second-order covariances for exponential family nonlinear models can be quite pronounced in small to moderate sample sizes.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610920802040407