Implementing the Bianco and Yohai estimator for logistic regression

被引:85
作者
Croux, C
Haesbroeck, G
机构
[1] Univ Liege, Dept Math, B-4000 Liege, Belgium
[2] Katholieke Univ Leuven, Dept Appl Econ, B-3000 Louvain, Belgium
关键词
robust estimation; influence function; logistic regression; maximum likelihood;
D O I
10.1016/S0167-9473(03)00042-2
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
A fast and stable algorithm to compute a highly robust estimator for the logistic regression model is proposed. A criterium. for the existence of this estimator at finite samples is derived and the problem of the selection of an appropriate loss function is discussed. It is shown that the loss function can be chosen such that the robust estimator exists if and only if the maximum likelihood estimator exists. The advantages of using a weighted version of this estimator are also considered. Simulations and an example give further support for the good performance of the implemented estimators. (C) 2003 Elsevier B.V. All rights reserved.
引用
收藏
页码:273 / 295
页数:23
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