TY - JOUR
T1 - On the robustness of two-stage estimators
AU - Zhelonkin, Mikhail
AU - Genton, Marc G.
AU - Ronchetti, Elvezio
N1 - 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.
PY - 2012/4
Y1 - 2012/4
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. © 2011.
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. © 2011.
UR - http://hdl.handle.net/10754/599067
UR - https://linkinghub.elsevier.com/retrieve/pii/S0167715211004068
UR - http://www.scopus.com/inward/record.url?scp=84856001658&partnerID=8YFLogxK
U2 - 10.1016/j.spl.2011.12.014
DO - 10.1016/j.spl.2011.12.014
M3 - Article
AN - SCOPUS:84856001658
SN - 0167-7152
VL - 82
SP - 726
EP - 732
JO - Statistics & Probability Letters
JF - Statistics & Probability Letters
IS - 4
ER -