(GLM β \beta β 的MLE的渐近正态性的证明)
设 y ∽ exp ( y T θ − b ( θ ) ) y\backsim \exp(y^T\theta-b(\theta)) y∽exp(yTθ−b(θ)), θ = u ( x T β ) \theta = u(x^T\beta) θ=u(xTβ)
Score n S n = 1 n ∑ j = 1 n x j u . ( x j T β ) ( y j − h ( x j T β ) ) \sqrt{n}S_n = \frac{1}{\sqrt{n}} \sum\limits_{j=1}^n x_j \overset{.}{u}(x_j^T\beta)(y_j-h(x_j^T\beta)) nSn=n1j=1∑nxju.(xjTβ)(yj−h(xjTβ)) 的渐近正态性是Lindeberg-Feller CLT,当然这需要Score满足Lindeberg条件。
然后是计算Score的期望和方差:
E ( n S n ) = 0 E(\sqrt{n}S_n)=0 E(nSn)=0
v a r ( n S n ) = 1 n ∑ j = 1 n x j u . ( x j T β ) b . . ( θ j ) u . ( x j T β ) T x j T ≜ I n ( β ) var(\sqrt{n}S_n) = \frac{1}{n} \sum\limits_{j=1}^n x_j \overset{.}{u}(x_j^T\beta) \overset{..}{b}(\theta_j) \overset{.}{u}(x_j^T\beta)^T x_j^T \triangleq I_n(\beta) var(n