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Choosing a robustness tuning parameter
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Warwick, Jane and Jones, M. C. (2005) Choosing a robustness tuning parameter. Journal of Statistical Computation and Simulation, Volume 75 (Number 7). pp. 581-588. doi:10.1080/00949650412331299120
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Official URL: http://dx.doi.org/10.1080/00949650412331299120
Abstract
A novel method is proposed for choosing the tuning parameter associated with a family of robust estimators. It consists of minimising estimated mean squared error, an approach that requires pilot estimation of model parameters. The method is explored for the family of minimum distance estimators proposed by [Basu, A., Harris, I.R., Hjort, N.L. and Jones, M.C., 1998, Robust and efficient estimation by minimising a density power divergence. Biometrika, 85, 549–559.] Our preference in that context is for a version of the method using the L 2 distance estimator [Scott, D.W., 2001, Parametric statistical modeling by minimum integrated squared error. Technometrics, 43, 274–285.] as pilot estimator.
| Item Type: | Journal Article | ||||
|---|---|---|---|---|---|
| Divisions: | Faculty of Medicine > Warwick Medical School > Health Sciences > Clinical Trials Unit Faculty of Medicine > Warwick Medical School > Health Sciences Faculty of Medicine > Warwick Medical School |
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| Journal or Publication Title: | Journal of Statistical Computation and Simulation | ||||
| Publisher: | Taylor & Francis Ltd. | ||||
| ISSN: | 0094-9655 | ||||
| Official Date: | 2005 | ||||
| Dates: |
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| Volume: | Volume 75 | ||||
| Number: | Number 7 | ||||
| Page Range: | pp. 581-588 | ||||
| DOI: | 10.1080/00949650412331299120 | ||||
| Status: | Peer Reviewed | ||||
| Publication Status: | Published | ||||
| Access rights to Published version: | Restricted or Subscription Access |
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