A robust conditional maximum likelihood estimator for generalized linear models with a dispersion parameter

DOI10.1007/S11749-018-0624-0zbMATH Open1420.62099arXiv1703.09626OpenAlexW2903930366WikidataQ128834289 ScholiaQ128834289MaRDI QIDQ2273152FDOQ2273152

Authors: Alfio Marazzi, Marina Valdora, Michael Amiguet, Victor J. Yohai 

Publication date: 18 September 2019

Published in: Test (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1703.09626

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zbMATH Keywords

generalized linear modeloverdispersionrobust regressionconditional maximum likelihoodnegative binomial regression

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Diagnostics, and linear inference and regression (62J20) Generalized linear models (logistic models) (62J12) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (6)

• ROBUST INFERENCE IN PARAMETRIC MODELS USING THE FAMILY OF GENERALIZED NEGATIVE EXPONENTIAL DISPARITIES
• The maximum likelihood estimator for joint mean and dispersion in generalized linear models of the lognormal distribution
• Minimum density power divergence estimator for negative binomial integer-valued GARCH models
• Robust estimation of mean and dispersion functions in extended generalized additive models
• Robust Wald-type tests in GLM with random design based on minimum density power divergence estimators
• The power of monitoring: how to make the most of a contaminated multivariate sample

Uses Software

• robustbase
• ccaPP
• robustnegbin

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