A GENERALIZED QUASI-LIKELIHOOD METHOD FOR ESTIMATION OF
AUTOREGRESSIVE MODELS
by A. A. Abed Al-Aziz, S .M. El- Sayed and Y. M. Selim.
Abstract:
In this paper, generalized quasi-likelihood estimation
fora semi-parametric model with a dependent structure is developed
incorporating knowledge of skewness and kurtosis. This is a
generalization of a similar idea proposed for independent observations
by Godambe and Thompson (1989). The generalized quasi-score function
is constructed on the basis of non-orthogonal estimating function
invoking the method of Durairajan (1992).
Key Words:
Generalized Linear Models; Quasi- likelihood method;
Non-orthogonal estimating functions
Authors:
A. A. Abed Al-Aziz, Alaa_mnn@yahoo.com
S .M. El- Sayed, smelsayed@yahoo.com
Y. M. Selim, yousefselim@yahoo.com
Editor:
Bradley T Ewing, bewing@ba.ttu.edu
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