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) |
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Pages (from-to) | 369-381 |
Number of pages | 13 |
Journal | Canadian Journal of Statistics |
Volume | 23 |
Issue number | 4 |
DOIs | |
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