Robust joint modeling of mean and dispersion through trimming |
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Authors: | NM Neykov P Filzmoser |
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Affiliation: | a National Institute of Meteorology and Hydrology, Bulgarian Academy of Sciences, 66 Tsarigradsko chaussee, 1784 Sofia, Bulgariab Department of Statistics and Probability Theory, Vienna University of Technology, Wiedner Hauptstraße 8-10, 1040 Vienna, Austria |
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Abstract: | The Maximum Likelihood Estimator (MLE) and Extended Quasi-Likelihood (EQL) estimator have commonly been used to estimate the unknown parameters within the joint modeling of mean and dispersion framework. However, these estimators can be very sensitive to outliers in the data. In order to overcome this disadvantage, the usage of the maximum Trimmed Likelihood Estimator (TLE) and the maximum Extended Trimmed Quasi-Likelihood (ETQL) estimator is recommended to estimate the unknown parameters in a robust way. The superiority of these approaches in comparison with the MLE and EQL estimator is illustrated by an example and a simulation study. As a prominent measure of robustness, the finite sample Breakdown Point (BDP) of these estimators is characterized in this setting. |
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Keywords: | Extended quasi-likelihood Extended trimmed quasi-likelihood Generalized linear models Joint modeling of mean and dispersion Breakdown point Outlier detection |
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