TY - CHAP
T1 - Robustification of the MLE without Loss of Efficiency
AU - Chakraborty, Biman
AU - Sarkar, Sahadeb
AU - Basu, Ayanendranath
PY - 2011/5/26
Y1 - 2011/5/26
N2 - A robust procedure, which produces the maximum likelihood estimator when the data are in conformity with the parametric model, and generates the outlier deleted maximum likelihood estimator under the presence of extreme outliers, has obvious intuitive appeal to the practising scientist. None of the currently available robust estimators achieves this automatically. Here we propose a density-based divergence belonging to the family of disparities ([7]) where the corresponding weighted likelihood estimator ([10], [11]) exhibits this desirable behavior for proper choices of tuning parameters. Some properties of the corresponding estimation procedure are discussed and illustrated through examples.
AB - A robust procedure, which produces the maximum likelihood estimator when the data are in conformity with the parametric model, and generates the outlier deleted maximum likelihood estimator under the presence of extreme outliers, has obvious intuitive appeal to the practising scientist. None of the currently available robust estimators achieves this automatically. Here we propose a density-based divergence belonging to the family of disparities ([7]) where the corresponding weighted likelihood estimator ([10], [11]) exhibits this desirable behavior for proper choices of tuning parameters. Some properties of the corresponding estimation procedure are discussed and illustrated through examples.
KW - Hellinger distance
KW - outlier deleted maximum likelihood estimator,
KW - residual adjustment function
KW - Hellinger distance, outlier deleted maximum likelihood estimatorweighted likelihood estimation.
U2 - 10.1007/978-3-642-20853-9_29
DO - 10.1007/978-3-642-20853-9_29
M3 - Chapter (peer-reviewed)
SN - 9783642208522
SN - 9783642268359
T3 - Understanding Complex Systems
SP - 423
EP - 436
BT - Modern Mathematical Tools and Techniques in Capturing Complexity
A2 - Pardo, Leandro
A2 - Balakrishnan, Narayanswami
A2 - Gil, Maria
PB - Springer
CY - Berlin
ER -