L2 differentiability of generalized linear models

We derive conditions for L2 differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions induce smoothness and integrability conditions for corresponding GLM-based time series models.

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Year of publication:	2015
Authors:	Pupashenko, Daria ; Ruckdeschel, Peter ; Kohl, Matthias
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 97.2015, C, p. 155-164
Publisher:	Elsevier
Subject:	Generalized linear models \| L2-differentiability \| Shape scale model \| Time series model for shape

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011189361