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Reweighted loglikelihood method in robust estimation in a mixed unbalanced model

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  • B. Krug

Abstract

In the paper we introduce a method of computing M‐estimators in a mixed unbalanced model. The algorithm is based on weighted loglikelihood. It simultaneously finds the estimator of location and scale. Convergence of the algorithm to a solution of M‐equations is proved and a simulation study is given.

Suggested Citation

  • B. Krug, 1998. "Reweighted loglikelihood method in robust estimation in a mixed unbalanced model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(2), pages 185-199, June.
    • Handle: RePEc:bla:stanee:v:52:y:1998:i:2:p:185-199
    DOI: 10.1111/1467-9574.00077
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