On the robustness of two-stage estimators
| dc.contributor.author | Zhelonkin, Mikhail | |
| dc.contributor.author | Genton, Marc G. | |
| dc.contributor.author | Ronchetti, Elvezio | |
| dc.date.accessioned | 2016-02-25T13:52:14Z | |
| dc.date.available | 2016-02-25T13:52:14Z | |
| dc.date.issued | 2012-04 | |
| dc.identifier.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. | |
| dc.identifier.issn | 0167-7152 | |
| dc.identifier.doi | 10.1016/j.spl.2011.12.014 | |
| dc.identifier.uri | http://hdl.handle.net/10754/599067 | |
| dc.description.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. | |
| dc.description.sponsorship | 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). | |
| dc.publisher | Elsevier BV | |
| dc.subject | Asymptotic variance | |
| dc.subject | Bounded influence function | |
| dc.subject | Change-of-variance function | |
| dc.subject | M-estimator | |
| dc.subject | Two-stage least squares | |
| dc.title | On the robustness of two-stage estimators | |
| dc.type | Article | |
| dc.identifier.journal | Statistics & Probability Letters | |
| dc.contributor.institution | Universite de Geneve, Geneve, Switzerland | |
| dc.contributor.institution | Texas A and M University, College Station, United States | |
| kaust.grant.number | KUS-C1-016-04 |