The robustness of the quasilikelihood estimator

被引：9

作者：

Lee, Y ^{[1
]}

Nelder, JA ^{[1
]}

机构：

[1] Seoul Natl Univ, Dept Stat, Seoul, South Korea

来源：

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 1999年 / 27卷 / 02期

关键词：

generalized linear model; quasilikelihood; maximum likelihood; quadratic estimating functions; robustness;

D O I：

10.2307/3315642

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The quasilikelihood estimator is widely used in data analysis where a likelihood is not available. We illustrate that with a given variance function it is not only conservative, in minimizing a maximum risk, but also robust against a possible misspecification of either the likelihood or cumulants of the model. In examples it is compared with estimators based on maximum likelihood and quadratic estimating functions.

引用

页码：321 / 327

页数：7

共 12 条

[1] A COMPARISON BETWEEN MAXIMUM-LIKELIHOOD AND GENERALIZED LEAST-SQUARES IN A HETEROSCEDASTIC LINEAR-MODEL [J].