Title
On estimation and local influence analysis for measurement errors models under heavy-tailed distributions
Date Issued
01 August 2011
Access level
metadata only access
Resource Type
journal article
Author(s)
Federal University of Rio de Janeiro
Publisher(s)
Statistical Papers
Abstract
Scale mixtures of normal distributions form a class of symmetric thick-tailed distributions that includes the normal one as a special case. In this paper we consider local influence analysis for measurement error models (MEM) when the random error and the unobserved value of the covariates jointly follow scale mixtures of normal distributions, providing an appealing robust alternative to the usual Gaussian process in measurement error models. In order to avoid difficulties in estimating the parameter of the mixing variable, we fixed it previously, as recommended by Lange et al. (J Am Stat Assoc 84:881-896, 1989) and Berkane et al. (Comput Stat Data Anal 18:255-267, 1994). The local influence method is used to assess the robustness aspects of the parameter estimates under some usual perturbation schemes. However, as the observed log-likelihood associated with this model involves some integrals, Cook's well-known approach may be hard to apply to obtain measures of local influence. Instead, we develop local influence measures following the approach of Zhu and Lee (J R Stat Soc Ser B 63:121-126, 2001), which is based on the EM algorithm. Results obtained from a real data set are reported, illustrating the usefulness of the proposed methodology, its relative simplicity, adaptability and practical usage. © 2009 Springer-Verlag.
Start page
567
End page
590
Volume
52
Issue
3
Language
English
OCDE Knowledge area
Matemáticas
Otras ingenierías, Otras tecnologías
Subjects
Scopus EID
2-s2.0-79960587496
Source
Statistical Papers
ISSN of the container
09325026
Sponsor(s)
Acknowledgments The authors thank two referees for their valuable comments and suggestions that led to significant improvement of the paper. The first author acknowledges the partial financial support from FAPESP and CNPq-Brazil. The research of C. A. Abanto-Valle was supported by FAPERJ-Brazil.
Sources of information:
Directorio de Producción Científica
Scopus