L_2 Differentiability of Generalized Linear Models
Statistics Theory
2014-12-01 v2 Statistics Theory
Abstract
We derive conditions for 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.
Keywords
Cite
@article{arxiv.1407.5798,
title = {L_2 Differentiability of Generalized Linear Models},
author = {Daria Pupashenko and Peter Ruckdeschel and Matthias Kohl},
journal= {arXiv preprint arXiv:1407.5798},
year = {2014}
}
Comments
10 pages