Artículo

Marazzi, A.; Valdora, M.; Yohai, V.; Amiguet, M."A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter" (2019) Test. 28(1):223-241
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Abstract:

Highly robust and efficient estimators for generalized linear models with a dispersion parameter are proposed. The estimators are based on three steps. In the first step, the maximum rank correlation estimator is used to consistently estimate the slopes up to a scale factor. The scale factor, the intercept, and the dispersion parameter are robustly estimated using a simple regression model. Then, randomized quantile residuals based on the initial estimators are used to define a region S such that observations out of S are considered as outliers. Finally, a conditional maximum likelihood (CML) estimator given the observations in S is computed. We show that, under the model, S tends to the whole space for increasing sample size. Therefore, the CML estimator tends to the unconditional maximum likelihood estimator and this implies that this estimator is asymptotically fully efficient. Moreover, the CML estimator maintains the high degree of robustness of the initial one. The negative binomial regression case is studied in detail. © 2018, Sociedad de Estadística e Investigación Operativa.

Registro:

Documento: Artículo
Título:A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter
Autor:Marazzi, A.; Valdora, M.; Yohai, V.; Amiguet, M.
Filiación:Institute of Social and Preventive Medicine, Lausanne, Switzerland
Nice Computing, Le Mont-sur-Lausanne, Switzerland
Departamento de matematicas and Instituto de cálculo, Facultad de ciencias exactas y naturales, Universidad de Buenos Aires, Buenos Aires, Argentina
CONICET, Buenos Aires, Argentina
Palabras clave:Conditional maximum likelihood; Generalized linear model; Negative binomial regression; Overdispersion; Robust regression
Año:2019
Volumen:28
Número:1
Página de inicio:223
Página de fin:241
DOI: http://dx.doi.org/10.1007/s11749-018-0624-0
Handle:http://hdl.handle.net/20.500.12110/paper_11330686_v28_n1_p223_Marazzi
Título revista:Test
Título revista abreviado:Test
ISSN:11330686
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_11330686_v28_n1_p223_Marazzi

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Citas:

---------- APA ----------
Marazzi, A., Valdora, M., Yohai, V. & Amiguet, M. (2019) . A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter. Test, 28(1), 223-241.
http://dx.doi.org/10.1007/s11749-018-0624-0
---------- CHICAGO ----------
Marazzi, A., Valdora, M., Yohai, V., Amiguet, M. "A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter" . Test 28, no. 1 (2019) : 223-241.
http://dx.doi.org/10.1007/s11749-018-0624-0
---------- MLA ----------
Marazzi, A., Valdora, M., Yohai, V., Amiguet, M. "A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter" . Test, vol. 28, no. 1, 2019, pp. 223-241.
http://dx.doi.org/10.1007/s11749-018-0624-0
---------- VANCOUVER ----------
Marazzi, A., Valdora, M., Yohai, V., Amiguet, M. A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter. Test. 2019;28(1):223-241.
http://dx.doi.org/10.1007/s11749-018-0624-0