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

Marianthi Markatou*, Joel L. Horowitz

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-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 languageEnglish (US)
Pages (from-to)369-381
Number of pages13
JournalCanadian Journal of Statistics
Volume23
Issue number4
DOIs
StatePublished - 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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