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Inferences of variance function - a parametric robust way

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  • Tsung-Shan Tsou

Abstract

Tsou (2003a) proposed a parametric procedure for making robust inference for mean regression parameters in the context of generalized linear models. This robust procedure is extended to model variance heterogeneity. The normal working model is adjusted to become asymptotically robust for inference about regression parameters of the variance function for practically all continuous response variables. The connection between the novel robust variance regression model and the estimating equations approach is also provided.

Suggested Citation

  • Tsung-Shan Tsou, 2005. "Inferences of variance function - a parametric robust way," Journal of Applied Statistics, Taylor & Francis Journals, vol. 32(8), pages 785-796.
    • Handle: RePEc:taf:japsta:v:32:y:2005:i:8:p:785-796
    DOI: 10.1080/02664760500079803
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    References listed on IDEAS

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    1. Harvey, A C, 1976. "Estimating Regression Models with Multiplicative Heteroscedasticity," Econometrica, Econometric Society, vol. 44(3), pages 461-465, May.
    2. Murray Aitkin, 1987. "Modelling Variance Heterogeneity in Normal Regression Using GLIM," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(3), pages 332-339, November.
    3. Richard Royall & Tsung‐Shan Tsou, 2003. "Interpreting statistical evidence by using imperfect models: robust adjusted likelihood functions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 391-404, May.
    4. White, Halbert, 1983. "Corrigendum [Maximum Likelihood Estimation of Misspecified Models]," Econometrica, Econometric Society, vol. 51(2), pages 513-513, March.
    5. W. Douglas Stirling, 1985. "Heteroscedastic Models and an Application to Block Designs," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 34(1), pages 33-41, March.
    6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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    Cited by:

    1. Tsung-Shan Tsou, 2011. "Likelihood inferences for the link function without knowing the true underlying distributions," Computational Statistics, Springer, vol. 26(3), pages 507-519, September.
    2. Shen, Chung-Wei & Tsou, Tsung-Shan & Balakrishnan, N., 2011. "Robust likelihood inference for regression parameters in partially linear models," Computational Statistics & Data Analysis, Elsevier, vol. 55(4), pages 1696-1714, April.

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