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    On the robustness of two-stage estimators

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    Type
    Article
    Authors
    Zhelonkin, Mikhail
    Genton, Marc G. cc
    Ronchetti, Elvezio
    KAUST Grant Number
    KUS-C1-016-04
    Date
    2012-04
    Permanent link to this record
    http://hdl.handle.net/10754/599067
    
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    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.
    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).
    Publisher
    Elsevier BV
    Journal
    Statistics & Probability Letters
    DOI
    10.1016/j.spl.2011.12.014
    ae974a485f413a2113503eed53cd6c53
    10.1016/j.spl.2011.12.014
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