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L2 differentiability of generalized linear models

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

:

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