IDEAS home Printed from https://ideas.repec.org/p/cte/wsrepe/ws114332.html
   My bibliography  Save this paper

Robust Henderson III estimators of variance components in the nested error model

Author

Listed:
  • Pérez, Betsabé
  • Peña, Daniel
  • Molina, Isabel

Abstract

Common 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.

Suggested Citation

  • Pérez, Betsabé & Peña, Daniel & Molina, Isabel, 2011. "Robust Henderson III estimators of variance components in the nested error model," DES - Working Papers. Statistics and Econometrics. WS ws114332, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws114332
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/12892/ws114332.pdf?sequence=1
    Download Restriction: no

    More about this item

    Keywords

    Henderson method III;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws114332. See general 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: (Ana Poveda). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.