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Quantile estimation under possibly misspecified generalised linear model

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  • Séménou, M.

Abstract

The following paper deals with the asymptotic behaviour of the maximum likelihood estimator in a misspecified generalised linear model. Of particularly interest is the estimation of a quantile in dose-response curves. Using asymptotic properties of the maximum likelihood estimator under misspecification of the model, these results are applied to quantile estimation for dose-response curves. Consistency and asymptotic normality are established.

Suggested Citation

  • Séménou, M., 1996. "Quantile estimation under possibly misspecified generalised linear model," Statistics & Probability Letters, Elsevier, vol. 27(4), pages 357-365, May.
    • Handle: RePEc:eee:stapro:v:27:y:1996:i:4:p:357-365
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    References listed on IDEAS

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    1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    3. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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    Cited by:

    1. Modarres, Reza & Nayak, Tapan K. & Gastwirth, Joseph L., 2002. "Estimation of upper quantiles under model and parameter uncertainty," Computational Statistics & Data Analysis, Elsevier, vol. 39(4), pages 529-554, June.

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