A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter
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Publication:2273152
Abstract: Highly robust and efficient estimators for the generalized linear model 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. In the second step, the scale factor, the intercept, and the dispersion parameter are consistently estimated using a MT-estimator of a simple regression model. The combined estimator is highly robust but inefficient. Then, randomized quantile residuals based on the initial estimators are used to detect outliers to be rejected and to define a set S of observations to be retained. Finally, a conditional maximum likelihood (CML) estimator given the observations in S is computed. We show that, under the model, S tends to the complete sample for increasing sample size. Therefore, the CML tends to the unconditional maximum likelihood estimator. It is therefore highly efficient, while maintaining the high degree of robustness of the initial estimator. The case of the negative binomial regression model is studied in detail.
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Cited in
(8)- The maximum likelihood estimator for joint mean and dispersion in generalized linear models of the lognormal distribution
- Robust Wald-type tests in GLM with random design based on minimum density power divergence estimators
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