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  • 标题:Improving the Efficiency of Robust Estimators for the Generalized Linear Model
  • 本地全文:下载
  • 作者:Alfio Marazzi
  • 期刊名称:Stats
  • 电子版ISSN:2571-905X
  • 出版年度:2021
  • 卷号:4
  • 期号:1
  • 页码:88-107
  • DOI:10.3390/stats4010008
  • 出版社:MDPI AG
  • 摘要:The distance constrained maximum likelihood procedure (DCML) optimally combines a robust estimator with the maximum likelihood estimator with the purpose of improving its small sample efficiency while preserving a good robustness level. It has been published for the linear model and is now extended to the GLM. Monte Carlo experiments are used to explore the performance of this extension in the Poisson regression case. Several published robust candidates for the DCML are compared; the modified conditional maximum likelihood estimator starting with a very robust minimum density power divergence estimator is selected as the best candidate. It is shown empirically that the DCML remarkably improves its small sample efficiency without loss of robustness. An example using real hospital length of stay data fitted by the negative binomial regression model is discussed.
  • 关键词:robust GLM estimators; robust Poisson regression; conditional maximum likelihood estimator; minimum density power divergence estimator; distance constrained maximum likelihood robust GLM estimators ; robust Poisson regression ; conditional maximum likelihood estimator ; minimum density power divergence estimator ; distance constrained maximum likelihood
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