Robust estimators for generalized linear models

By Marina Valdora, Victor J. Yohai. 2014

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Abstract In this paper we propose a family of robust estimators for generalized linear models. The basic idea is to use an M-estimator after applying a variance stabilizing transformation to the response. We show the consistency and asymptotic normality of these estimators. We also obtain a lower bound for their breakdown point. A Monte Carlo study shows that the proposed estimators compare favorably with respect to other robust estimators for generalized linear models with Poisson response and log link.

Subfields: Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/171418537ce41277f6e44c1d06e3e199ae986d97