Covariance Matrix Formula for Exponential Family Nonlinear Models |
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| Authors: | Gauss M. Cordeiro Rosangela G. Santana |
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| Affiliation: | 1. Departamento de Estatística e Informática , Universidade Federal Rural de Pernambuco , Recife, Brazil gauss@deinfo.ufrpe.br;3. Departamento de Estatística , Universidade Estadual de Maringá , Maringá, Brazil |
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| Abstract: | This article gives a matrix formula for second-order covariances of maximum likelihood estimators in exponential family nonlinear models, thus generalizing the result of Cordeiro (2004 Cordeiro , G. M. ( 2004 ). Second-order covariance matrix of maximum likelihood estimates in generalized linear models . Statist. Probab. Lett. 66 : 153 – 160 .[Crossref], [Web of Science ®] , [Google Scholar]) valid for generalized linear models with known dispersion parameter. Some simulations show that the second-order covariances for exponential family nonlinear models can be quite pronounced in small to moderate sample sizes. |
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| Keywords: | Covariance matrix Exponential family Generalized linear model Maximum likelihood estimator Nonlinear model |
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