What is the z-value of glm model parameters?

Question

I know what the z-value of a single observation is, that is explained in Wikipedia. But what is the z-value of a parameter in a glm model?

What exactly is Wikipedia's explanation? – whuber Jul 10 '14 at 15:30 — whuber, Jul 10 '14 at 15:30
Maybe this post or this one can help. – COOLSerdash Jul 10 '14 at 16:14 — COOLSerdash, Jul 10 '14 at 16:14

score 11 · Accepted Answer · answered Jul 10 '14 at 15:38

11

It is the test-statistic for the Wald-test that the parameter is 0. It is the parameter divided by the standard error. If the null-hypothesis is true (i.e. the parameter is 0 in the population) and we were to draw many samples from our population and compute the z-statistic in each of them, then those z-statistics will follow a standard normal distribution.

answered Jul 10 '14 at 15:38

Maarten Buis

21,005

2

Well - they're asymptotically normal so for small sample sizes it might not quite be normal. – Dason Jul 10 '14 at 23:33

What is the z-value of glm model parameters?

1 Answers1