异方差非线性模型中QLE的渐近性质

Asymptotic Properties of Quasi Likelihood Estimation for Heterosed Astic Nonlinear Models

在一类异方差非线性模型中，在一定正则条件下，证明了回归参数的拟似然估计（ＱＬＥ）的唯一存在性、强相合性及渐近正态性；最后导出了估计量的渐近方差的相合估计；从而进一步推广和发展了Ｍｃｃｕｌｌａｇｈ（１９８３）、Ｊｅｎｎｒｉｃｈ（１９６９）及Ｗｕ，Ｃ·Ｆ（１９８１）的结论．

In this paper, the unique existence, strong consistency and asymptotic normalityof quasi likelihood estmation are proved under certain conditions for heterosedastic nonlinearmodels. Consistent estimation of asymptotic variance for quasi likelihood estimation is presented. Many results in literature (Such as McCullagh 1983, Jennrich 1969, Wu 1981) areextended.