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

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  • Sifa Mvoi
  • Yan-Xia Lin

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.

Suggested Citation

  • Sifa Mvoi & Yan-Xia Lin, 2000. "Criteria for estimating the variance function used in the asymptotic quasi-likelihood approach," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(3), pages 347-362.
    • Handle: RePEc:taf:japsta:v:27:y:2000:i:3:p:347-362
    DOI: 10.1080/02664760021655
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    Cited by:

    1. J. A. Nelder, 2000. "Quasi-likelihood and pseudo-likelihood are not the same thing," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(8), pages 1007-1011.

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