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?

  • $\begingroup$ What exactly is Wikipedia's explanation? $\endgroup$ – whuber Jul 10 '14 at 15:30
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    $\begingroup$ Maybe this post or this one can help. $\endgroup$ – COOLSerdash Jul 10 '14 at 16:14

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.

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

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