Abstract #300260

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JSM 2003 Abstract #300260
Activity Number: 92
Type: Contributed
Date/Time: Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor: Section on Statistics in Epidemiology
Abstract - #300260
Title: A Quasi-Likelihood for Variance Inference
Author(s): Yoon Dong Lee*+
Companies: Seoul National University
Address: Statistical Research Center For Complex Systems, Seoul, 151-742, Korea
Keywords: quasi-likelihood ; extended quasi-likelihood (EQL) ; saddle point approximation ; large sample consistency ; kernel smoothing ; overdispersion
Abstract:

We develop a newly extended quasi-likelihood, XQL in short. XQL has desirable properties both of EQL proposed by Nelder and Pregibon (1987) and pseudolikelihood (PL) proposed by Carroll and Ruppert (1982). XQL is equivalent to Wedderburn's quasi-likelihood for mean inference. For variance inference, the maximum XQL estimator is consistent for large sample, and has smaller mean squared error than the maximum EQL estimator and the maximum PL estimator in both of small and large sample cases.

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