On the robustness of two-stage estimators

Mikhail Zhelonkin; Marc G. Genton; Elvezio Ronchetti

doi:10.1016/j.spl.2011.12.014

On the robustness of two-stage estimators

Mikhail Zhelonkin^*, Marc G. Genton, Elvezio Ronchetti

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

11 Scopus citations

Abstract

The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.

Original language	English (US)
Pages (from-to)	726-732
Number of pages	7
Journal	Statistics and Probability Letters
Volume	82
Issue number	4
DOIs	https://doi.org/10.1016/j.spl.2011.12.014
State	Published - Apr 2012
Externally published	Yes

Keywords

Asymptotic variance
Bounded influence function
Change-of-variance function
M-estimator
Two-stage least squares

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.1016/j.spl.2011.12.014

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title = "On the robustness of two-stage estimators",

abstract = "The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.",

keywords = "Asymptotic variance, Bounded influence function, Change-of-variance function, M-estimator, Two-stage least squares",

author = "Mikhail Zhelonkin and Genton, {Marc G.} and Elvezio Ronchetti",

note = "KAUST Repository Item: Exported on 2020-10-01 Acknowledged KAUST grant number(s): KUS-C1-016-04 Acknowledgements: The second author's research was partially supported by NSF grants DMS-1007504 and DMS-1100492, and by Award No. KUS-C1-016-04 made by King Abdullah University of Science and Technology (KAUST). This publication acknowledges KAUST support, but has no KAUST affiliated authors.",

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AU - Genton, Marc G.

AU - Ronchetti, Elvezio

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N2 - The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.

AB - The aim of this note is to provide a general framework for the analysis of the robustness properties of a broad class of two-stage models. We derive the influence function, the change-of-variance function, and the asymptotic variance of a general two-stage M-estimator, and provide their interpretations. We illustrate our results in the case of the two-stage maximum likelihood estimator and the two-stage least squares estimator.

KW - Asymptotic variance

KW - Bounded influence function

KW - Change-of-variance function

KW - M-estimator

KW - Two-stage least squares

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M3 - Article

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EP - 732

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

IS - 4

ER -

On the robustness of two-stage estimators

Abstract

Keywords

ASJC Scopus subject areas

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