In this paper we compare two robust pseudo-likelihoods for a parameter of interest, also in the presence of nuisance parameters. These functions are obtained by computing quasi-likelihood and empirical likelihood from the estimating equations which define robust M-estimators. Application examples in the context of linear transformation models are considered. Monte Carlo studies are performed in order to assess the finite-sample performance of the inferential procedures based on quasi- and empirical likelihood, when the objective is the construction of robust confidence regions.

Quasi-likelihood from M-estimators: a numerical comparison with empirical likelihood

ADIMARI, GIANFRANCO;VENTURA, LAURA
2002

Abstract

In this paper we compare two robust pseudo-likelihoods for a parameter of interest, also in the presence of nuisance parameters. These functions are obtained by computing quasi-likelihood and empirical likelihood from the estimating equations which define robust M-estimators. Application examples in the context of linear transformation models are considered. Monte Carlo studies are performed in order to assess the finite-sample performance of the inferential procedures based on quasi- and empirical likelihood, when the objective is the construction of robust confidence regions.
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2464343
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