ROBUST MEDIAN ESTIMATOR FOR GENERALIZED LINEAR MODELS WITH BINARY RESPONSES

被引:0
作者
Hobza, Tomas [1 ]
Pardo, Leandro [2 ]
Vajda, Igor [3 ]
机构
[1] Czech Tech Univ, Fac Nucl Sci & Phys Engn, Prague 12000 2, Czech Republic
[2] Univ Complutense Madrid, Dept Estadist, E-28040 Madrid, Spain
[3] Acad Sci Czech Republ, Inst Informat Theory & Automat, CR-18208 Prague 8, Czech Republic
关键词
generalized linear models; binary responses; statistical smoothing; statistical enhancing; maximum likelihood estimator; median estimator; consistency; asymptotic normality; efficiency; robustness; REGRESSION; LOGIT; FITS;
D O I
暂无
中图分类号
TP3 [计算技术、计算机技术];
学科分类号
0812 ;
摘要
The paper investigates generalized linear models (GLM's) with binary responses such as the logistic, probit, log-log, complementary log-log, scobit and power logit models. It introduces a median estimator of the underlying structural parameters of these models based on statistically smoothed binary responses. Consistency and asymptotic normality of this estimator are proved. Examples of derivation of the asymptotic covariance matrix under the above mentioned models are presented. Finally some comments concerning a method called enhancement and robustness of median estimator are given and results of simulation experiment comparing behavior of median estimator with other robust estimators for GLM's known from the literature are reported.
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页码:768 / 794
页数:27
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