| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7549480 | Statistics & Probability Letters | 2015 | 10 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Daria Pupashenko, Peter Ruckdeschel, Matthias Kohl,