Showing 1 - 10 of 89
Persistent link: https://www.econbiz.de/10005395883
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/10005453970
The class of composite likelihood functions provides a flexible and powerful toolkit to carry out approximate inference for complex statistical models when the full likelihood is either impossible to specify or unfeasible to compute. However, the strength of the composite likelihood approach is...
Persistent link: https://www.econbiz.de/10010856295
Persistent link: https://www.econbiz.de/10010946627
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/10005006556
In this paper robust statistical procedures are presented for the analysis of skewed and heavy-tailed outcomes as they typically occur in health care data. The new estimators and test statistics are extensions of classical maximum likelihood techniques for generalized linear models. In contrast...
Persistent link: https://www.econbiz.de/10005075686
Persistent link: https://www.econbiz.de/10005081860
Generalized linear latent variable models (GLLVMs), as defined by Bartholomew and Knott, enable modelling of relationships between manifest and latent variables. They extend structural equation modelling techniques, which are powerful tools in the social sciences. However, because of the...
Persistent link: https://www.econbiz.de/10005658914
We review some basic approaches to robust inference and discuss the role and the place of some key concepts (influence function, breakdown point, robustness versus efficienty, etc.). We then discuss in some detail results on robust testing in linear models, nonlinear regression, and general...
Persistent link: https://www.econbiz.de/10005687125
Procedures based on the Generalized Method of Moments (GMM) (Hansen, 1982) are basic tools in modern econometrics. In most cases, the theory available for making inference with these procedures is based on first order asymptotic theory. It is well-known that the (first order) asymptotic...
Persistent link: https://www.econbiz.de/10005687128