JSM 2004 - Toronto

Abstract #300009

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Activity Number: 288
Type: Invited
Date/Time: Wednesday, August 11, 2004 : 8:30 AM to 10:20 AM
Sponsor: WNAR
Abstract - #300009
Title: Consistency and Inconsistency of Maximum Quasi-likelihood Estimators
Author(s): Bing Li*+
Companies: Pennsylvania State University
Address: 326 Thomas Bldg., University Park, PA, 16802,
Keywords: quasi-likelihood ; generalized estimating equations ; consistency ; path integral
Abstract:

It has long been speculated that, if a parametric class of estimating equations forms a conservative vector field, then, under some conditions, the maximum point of the potential function should be a consistent estimator of the parameter. This is part of the reason for preferring a maximum quasi-likelihood estimator to other solutions of the quasi-likelihood equation. However, such sufficient conditions have not been established except in special cases. I will discuss two sets of reasonably general sufficient conditions for a maximum quasi-likelihood estimator to be consistent. I will also demonstrate that, if these conditions are violated, it is possible for a maximum quasi-likelihood estimator to be inconsistent. These results will then be applied to study nonconservative estimating equations and generalized estimating equations. In particular, I will discuss what types of path integral of a nonconservative estimating equation with give rise to consistent maximum.

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