Robust scale estimation in the error‐components model using the empirical characteristic function

Marianthi Markatou; Joel L. Horowitz

doi:10.2307/3315381

Robust scale estimation in the error‐components model using the empirical characteristic function

Marianthi Markatou^*, Joel L. Horowitz

^*Corresponding author for this work

Economics

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

3 Scopus citations

Abstract

Robust estimators of the scale parameters in the error‐components model are described. The new estimators are based on the empirical characteristic functions of appropriate sets of residuals and are affine equivariant, consistent and asymptotically normal. The robustness of the new estimators is investigated via influence‐function calculations. The results of Monte Carlo experiments and an example based on real data illustrate the usefulness of the estimators.

Original language	English (US)
Pages (from-to)	369-381
Number of pages	13
Journal	Canadian Journal of Statistics
Volume	23
Issue number	4
DOIs	https://doi.org/10.2307/3315381
State	Published - Jan 1 1995

Keywords

60E10
62F35.
Characteristic function
error components
influence function
panel data models
scale parameters.

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty

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10.2307/3315381

Cite this

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abstract = "Robust estimators of the scale parameters in the error‐components model are described. The new estimators are based on the empirical characteristic functions of appropriate sets of residuals and are affine equivariant, consistent and asymptotically normal. The robustness of the new estimators is investigated via influence‐function calculations. The results of Monte Carlo experiments and an example based on real data illustrate the usefulness of the estimators.",

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AB - Robust estimators of the scale parameters in the error‐components model are described. The new estimators are based on the empirical characteristic functions of appropriate sets of residuals and are affine equivariant, consistent and asymptotically normal. The robustness of the new estimators is investigated via influence‐function calculations. The results of Monte Carlo experiments and an example based on real data illustrate the usefulness of the estimators.

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KW - error components

KW - influence function

KW - panel data models

KW - scale parameters.

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Robust scale estimation in the error‐components model using the empirical characteristic function

Abstract

Keywords

ASJC Scopus subject areas

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