December 2022 Robust estimation in functional comparative calibration models via maximum Lq-likelihood
Patricia Giménez, Lucas Guarracino, Manuel Galea
Author Affiliations +
Braz. J. Probab. Stat. 36(4): 725-750 (December 2022). DOI: 10.1214/22-BJPS552

Abstract

A fully parametric estimation procedure is proposed for robust estimation of the structural parameter in a functional comparative calibration model, under normality. The proposed estimator is obtained, based on maximum Lq-likelihood approach, first replacing the incidental parameters by estimators depending on the structural parameter. The estimator, called MLqE, depends on a single distortion parameter q, which controls the balance between robustness and efficiency. If q tends to 1, the maximum likelihood estimator (MLE) is obtained. The estimation procedure can be implemented easily by a simple and fast reweighting algorithm. For applying the method to practical and real-data scenarios, a data-based choice of an appropriate value of q is proposed. Consistency and asymptotic normality is established and the covariance matrix is given. The influence function is derived, to show the local robustness properties. Theoretical properties, ease of implementabiliy and empirical results on simulated and real data show the satisfactory behavior of the MLqE and its vantages over the MLE in presence of observations discordant with the assumed model.

Acknowledgments

The authors would like to thank two anonymous referees and the Editor whose comments led to an improved version of the paper.

Citation

Download Citation

Patricia Giménez. Lucas Guarracino. Manuel Galea. "Robust estimation in functional comparative calibration models via maximum Lq-likelihood." Braz. J. Probab. Stat. 36 (4) 725 - 750, December 2022. https://doi.org/10.1214/22-BJPS552

Information

Received: 1 January 2022; Accepted: 1 September 2022; Published: December 2022
First available in Project Euclid: 21 December 2022

MathSciNet: MR4524517
Digital Object Identifier: 10.1214/22-BJPS552

Keywords: Comparative calibration models , maximum Lq-likelihood , robustness

Rights: Copyright © 2022 Brazilian Statistical Association

JOURNAL ARTICLE
26 PAGES

This article is only available to subscribers.
It is not available for individual sale.
+ SAVE TO MY LIBRARY

Vol.36 • No. 4 • December 2022
Back to Top