Robust Estimation of Mean and Dispersion Functions in Extended Generalized Additive Models
AbstractGeneralized Linear Models are a widely used method to obtain parametric es- timates for the mean function. They have been further extended to allow the re- lationship between the mean function and the covariates to be more flexible via Generalized Additive Models. However the fixed variance structure can in many cases be too restrictive. The Extended Quasi-Likelihood (EQL) framework allows for estimation of both the mean and the dispersion/variance as functions of covari- ates. As for other maximum likelihood methods though, EQL estimates are not resistant to outliers: we need methods to obtain robust estimates for both the mean and the dispersion function. In this paper we obtain functional estimates for the mean and the dispersion that are both robust and smooth. The performance of the proposed method is illustrated via a simulation study and some real data examples.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2010-104.
Date of creation: 2010
Date of revision:
Contact details of provider:
Web page: http://center.uvt.nl
dispersion; generalized additive modelling; mean regression function; quasilikelihood; M-estimation; P-splines; robust estimation;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Richard Broekman).
If references are entirely missing, you can add them using this form.