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

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  • Cordeiro, Gauss M.

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.

Suggested Citation

  • Cordeiro, Gauss M., 2004. "Second-order covariance matrix of maximum likelihood estimates in generalized linear models," Statistics & Probability Letters, Elsevier, vol. 66(2), pages 153-160, January.
    • Handle: RePEc:eee:stapro:v:66:y:2004:i:2:p:153-160
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    Cited by:

    1. Rocha, Andréa V. & Simas, Alexandre B. & Cordeiro, Gauss M., 2010. "Second-order asymptotic expressions for the covariance matrix of maximum likelihood estimators in dispersion models," Statistics & Probability Letters, Elsevier, vol. 80(7-8), pages 718-725, April.
    2. Gauss Cordeiro & Denise Botter & Alexsandro Cavalcanti & Lúcia Barroso, 2014. "Covariance matrix of the bias-corrected maximum likelihood estimator in generalized linear models," Statistical Papers, Springer, vol. 55(3), pages 643-652, August.

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