Robust Henderson III estimators of variance components in the nested error model
AbstractCommon methods for estimating variance components in Linear Mixed Models include Maximum Likelihood (ML) and Restricted Maximum Likelihood (REML). These methods are based on the strong assumption of multivariate normal distribution and it is well know that they are very sensitive to outlying observations with respect to any of the random components. Several robust altematives of these methods have been proposed (e.g. Fellner 1986, Richardson and Welsh 1995). In this work we present several robust alternatives based on the Henderson method III which do not rely on the normality assumption and provide explicit solutions for the variance components estimators. These estimators can later be used to derive robust estimators of regression coefficients. Finally, we describe an application of this procedure to small area estimation, in which the main target is the estimation of the means of areas or domains when the within-area sample sizes are small.
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws114332.
Date of creation: Dec 2011
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Henderson method III; Linear mixed model; Robust estimators; Variance component estimators;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-01-10 (All new papers)
- NEP-ECM-2012-01-10 (Econometrics)
- NEP-ORE-2012-01-10 (Operations Research)
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