M-ESTIMATION OF THE MIXED-TYPE GENERALIZED LINEAR MODEL
Abstract: To investigate the features of the individual from the mixed-type model, a novel
model, named the mixed-type generalized linear model, is proposed firstly in this
work, which is verified to be realistic and useful. We consider the robustness of
M-estimation to estimate the unknown parameters of the mixed-type generalized
linear model. By applying the law of large numbers and the central limit theorem,
the consistency and asymptotic normality of the M-estimation for the mixed-type
generalized linear model are proved with regularity assumptions. At last, in order to
evaluate the finite sample performance of the estimator for the new model, several
applied instances are presented, which show the good performance of the estimator.
2010 AMS Mathematics Subject Classification: Primary: 62F12, 62J05; Secondary:
Keywords and phrases: Asymptotic normality, consistency, M-estimation, mixed-type
generalized linear model.