Quasi-likelihood from<Emphasis Type="Italic">M</Emphasis>-estimators: A numerical comparison with empirical likelihood |
| |
Authors: | Gianfranco Adimari Laura Ventura |
| |
Institution: | (1) Dipartimento di Scienze Statistiche, Università degli Studi di Padova, Via C. Battisti 241, 35121 Padova |
| |
Abstract: | In this paper we compare two robust pseudo-likelihoods for a parameter of interest, also in the presence of nuisance parameters.
These functions are obtained by computing quasi-likelihood and empirical likelihood from the estimating equations which define
robustM-estimators. Application examples in the context of linear transformation models are considered. Monte Carlo studies are performed
in order to assess the finite-sample performance of the inferential procedures based on quasi-and empirical likelihood, when
the objective is the construction of robust confidence regions. |
| |
Keywords: | Estimating equation linear transformation models profile likelihood pseudo likelihood robustness |
本文献已被 SpringerLink 等数据库收录! |