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L2 differentiability of generalized linear models

: Pupashenko, D.; Ruckdeschel, P.; Kohl, M.

DOI: 10.1016/j.spl.2014.11.020

	Statistics & probability letters 97 (2015), S.155-164 ISSN: 0167-7152

	Englisch
	Zeitschriftenaufsatz
	Fraunhofer ITWM ()
	generalized linear models; L2-differentiability; shape scale model; time series model for shape

Abstract
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.

: http://publica.fraunhofer.de/dokumente/N-328386.html