M-Estimator of a Generalized Linear Model with Measurement Errors

Abstract

In this article, we propose a generalized linear model and estimate the unknown parameters using robust M-estimator. Under suitable conditions and by the strong law of large numbers and central limits theorem, the proposed M-estimators are proved to be consistent and asymptotically normal. We also evaluate the finite sample performance of our estimator through a Monte Carlo study.

Keywords:

• Asymptotic normality
• Consistency
• Generalized linear model
• M-estimator

Mathematics Subject Classification:

• 60E05
• 60F05
• 60F20
• 60F10
• 62E17