Handle URI:
http://hdl.handle.net/10754/599067
Title:
On the robustness of two-stage estimators
Authors:
Zhelonkin, Mikhail; Genton, Marc G.; Ronchetti, Elvezio
Abstract:
The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator. © 2011.
Citation:
Zhelonkin M, Genton MG, Ronchetti E (2012) On the robustness of two-stage estimators. Statistics & Probability Letters 82: 726–732. Available: http://dx.doi.org/10.1016/j.spl.2011.12.014.
Publisher:
Elsevier BV
Journal:
Statistics & Probability Letters
KAUST Grant Number:
KUS-C1-016-04
Issue Date:
Apr-2012
DOI:
10.1016/j.spl.2011.12.014
Type:
Article
ISSN:
0167-7152
Sponsors:
The second author's research was partially supported by NSF grants DMS-1007504 and DMS-1100492, and by Award No. KUS-C1-016-04 made by King Abdullah University of Science and Technology (KAUST).
Appears in Collections:
Publications Acknowledging KAUST Support

Full metadata record

DC FieldValue Language
dc.contributor.authorZhelonkin, Mikhailen
dc.contributor.authorGenton, Marc G.en
dc.contributor.authorRonchetti, Elvezioen
dc.date.accessioned2016-02-25T13:52:14Zen
dc.date.available2016-02-25T13:52:14Zen
dc.date.issued2012-04en
dc.identifier.citationZhelonkin M, Genton MG, Ronchetti E (2012) On the robustness of two-stage estimators. Statistics & Probability Letters 82: 726–732. Available: http://dx.doi.org/10.1016/j.spl.2011.12.014.en
dc.identifier.issn0167-7152en
dc.identifier.doi10.1016/j.spl.2011.12.014en
dc.identifier.urihttp://hdl.handle.net/10754/599067en
dc.description.abstractThe aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator. © 2011.en
dc.description.sponsorshipThe second author's research was partially supported by NSF grants DMS-1007504 and DMS-1100492, and by Award No. KUS-C1-016-04 made by King Abdullah University of Science and Technology (KAUST).en
dc.publisherElsevier BVen
dc.subjectAsymptotic varianceen
dc.subjectBounded influence functionen
dc.subjectChange-of-variance functionen
dc.subjectM-estimatoren
dc.subjectTwo-stage least squaresen
dc.titleOn the robustness of two-stage estimatorsen
dc.typeArticleen
dc.identifier.journalStatistics & Probability Lettersen
dc.contributor.institutionUniversite de Geneve, Geneve, Switzerlanden
dc.contributor.institutionTexas A and M University, College Station, United Statesen
kaust.grant.numberKUS-C1-016-04en
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