Abstract
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.
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.
| Original language | English |
|---|---|
| Title of host publication | Modern Mathematical Tools and Techniques in Capturing Complexity |
| Subtitle of host publication | Special Volume in honour of Maria Luisa Menéndez |
| Editors | Leandro Pardo, Narayanswami Balakrishnan, Maria Gil |
| Place of Publication | Berlin |
| Publisher | Springer |
| Pages | 423-436 |
| Number of pages | 14 |
| Volume | 72 |
| ISBN (Print) | 978-3-642-20852-2 |
| DOIs | |
| Publication status | Published - 2011 |
Publication series
| Name | Understanding Complex Systems |
|---|
Keywords
- Hellinger distance
- outlier deleted maximum likelihood estimator,
- residual adjustment function
- Hellinger distance, outlier deleted maximum likelihood estimatorweighted likelihood estimation.