On the robustness of two-stage estimators

Type
Article

Authors
Zhelonkin, Mikhail
Genton, Marc G.
Ronchetti, Elvezio

KAUST Grant Number
KUS-C1-016-04

Date
2012-04

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.

Acknowledgements
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).

Publisher
Elsevier BV

Journal
Statistics & Probability Letters

DOI
10.1016/j.spl.2011.12.014

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