Showing 1 - 10 of 36
We derive conditions for L2 differentiability of generalized linear models with error distributions not necessarily belonging to exponential families, covering both cases of stochastic and deterministic regressors. These conditions induce smoothness and integrability conditions for corresponding...
Persistent link: https://www.econbiz.de/10011189361
Persistent link: https://www.econbiz.de/10001509206
Persistent link: https://www.econbiz.de/10009611552
Persistent link: https://www.econbiz.de/10010310205
We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...
Persistent link: https://www.econbiz.de/10010310359
Abstract Generalizing MSE-optimality on 1/√ n -shrinking neighborhoods of contamination type, we determine the robust influence curve that minimizes maximum asymptotic risk, where risk may be any convex and isotone function G of L 2 - and L ∞ -norms. The solutions necessarily minimize the...
Persistent link: https://www.econbiz.de/10014621437
Persistent link: https://www.econbiz.de/10012272501
Persistent link: https://www.econbiz.de/10010956582
We determine the increase of the maximum risk over the minimax risk in the case that the optimally robust estimator for the false radius is used. This is done by numerical solution of the implicit equations which determine optimal robustness, for location, scale, and linear regression models,...
Persistent link: https://www.econbiz.de/10010956586
The breakdown point in its different variants is one of the central notions to quantify the global robustness of a procedure. We propose a simple supplementary variant which is useful in situations where we have no obvious or only partial equivariance: Extending the Donoho and Huber (The notion...
Persistent link: https://www.econbiz.de/10010994985