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

Betsabé Pérez and Isabel Molina
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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.

Keywords: Variance; component; estimators; Henderson; method; III; Linear; mixed; model; Robust; estimators (search for similar items in EconPapers)
Date: 2011-12
New Economics Papers: this item is included in nep-ecm and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws114332

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