Search Results - subject:"M–Estimators"

Robust Second Order Accurate Inference for Generalized Linear Models

Lo, Serigne N.; Ronchetti, Elvezio - Institut d'Economie et Econométrie, Université de Genève - 2006

In the framework of generalized linear models, the nonrobustness of classical estimators and tests for the parameters is a well known problem and alternative methods have been proposed in the literature. These methods are robust and can cope with deviations from the assumed distribution....

Persistent link: https://www.econbiz.de/10005811489

Robust second order accurate inference for generalized linear models

Lô, Serigne N. (contributor); … - 2006

selection even in moderate to small samples. Keywords: M-estimators, Monte Carlo, Robust inference, Robust variable selection … proposed. One of these methods is the class of M-estimators of Mallows’s type (Cantoni and Ronchetti 2001) deflned by the score … Parameters," Biometrika, 77, 77{95. Fan, J. and Field, C. (1995), \Marginal Densities of M-estimators," Canadian Journal of …

Persistent link: https://www.econbiz.de/10003335758

Outlier detection in regression using an iterated one-step approximation to the huber-skip estimator

Johansen, Søren; Nielsen, Bent - In: Econometrics : open access journal 1 (2013) 1, pp. 53-70

In regression we can delete outliers based upon a preliminary estimator and re-estimate the parameters by least squares based upon the retained observations. We study the properties of an iteratively defined sequence of estimators based on this idea. We relate the sequence to the Huber-skip...

Persistent link: https://www.econbiz.de/10009754516

Worst-case estimation and asymptotic theory for models with unobservables

Vidal-Sanz, Jose M.; Esteban-Bravo, Mercedes - Society for Computational Economics - SCE - 2005

This paper proposes a worst-case approach for estimating econometric models containing unobservable variables. Worst-case estimators are robust against the averse effects of unobservables and, unlike the classical literature, there are no assumptions made about the statistical nature of the...

Persistent link: https://www.econbiz.de/10005170560

Bandwidth choice for robust nonparametric scale function estimation

Boente, Graciela; Ruiz, Marcelo; Zamar, Ruben H. - In: Computational Statistics & Data Analysis 56 (2012) 6, pp. 1594-1608

We introduce and compare several robust procedures for bandwidth selection when estimating the variance function. These bandwidth selectors are to be used in combination with the robust scale estimates introduced by Boente et al. (2010a). We consider two different robust cross-validation...

Persistent link: https://www.econbiz.de/10011056610

Robust parameter estimation for the Ornstein–Uhlenbeck process

Rieder, Sonja - In: Statistical Methods and Applications 21 (2012) 4, pp. 411-436

In this paper, we derive elementary M- and optimally robust asymptotic linear (AL)-estimates for the parameters of an Ornstein–Uhlenbeck process. Simulation and estimation of the process are already well-studied, see Iacus (Simulation and inference for stochastic differential equations....

Persistent link: https://www.econbiz.de/10010998696

Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - Institut d'Economie et Econométrie, Université de Genève - 2004

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...

Persistent link: https://www.econbiz.de/10005687135

Robust income distribution estimation with missing data

Victoria-Feser, Maria-Pia - London School of Economics (LSE) - 2001

this paper, we propose a robust alternative to the ML estimator with truncated data, namely one based on M-estimators that …

Persistent link: https://www.econbiz.de/10010928590

Robust Lorenz Curves: A Semiparametric Approach

Cowell, Frank A; Victoria-Feser, Maria-Pia - Suntory and Toyota International Centres for Economics … - 2001

Lorenz curves and second-order dominance criteria are known to be sensitive to data contamination in the right tail of the distribution. We propose two ways of dealing with the problem: (1) Estimate Lorenz curves using parametric models for income distributions, and (2) Combine empirical...

Persistent link: https://www.econbiz.de/10005310317

Robust Income Distribution Estimation with Missing Data

Victoria-Feser, Maria-Pia - Suntory and Toyota International Centres for Economics … - 2001

this paper, we propose a robust alternative to the ML estimator with truncated data, namely one based on M-estimators that …

Persistent link: https://www.econbiz.de/10005310320