ASYMPTOTIC THEORY OF GENERAL
ESTIMATING EQUATIONS
ASYMPTOTIC THEORY OF GENERAL
ESTIMATIN EQUATIONS
by
Huaiqing Wu
Iowa State University
ABSTRACT
Consider a sequence of observations with a distribution depending on 
and 
, where 
is a vector to be estimated and
a nuisance parameter. A general approach to estimating 
is the method of estimating equations for which an estimator of 
is a solution of an equation consisting of 
and the first 
observations. In this paper, we study some asymptotic properties of such
an estimator under a very general setting. Sufficient conditions are given
for the consistency and asymptotic normality of an estimator of 
from any estimating equation without a dimensionality assumption on the
nuisance parameter. The theory is illustrated by several examples.
Keywords: Asymptotic normality, consistency, estimating function, fixed
point theorem, maximum likelihood, nuisance parameter