Reweighted loglikelihood method in robust estimation in a mixed unbalanced model

B. Krug

Statistica Neerlandica, 1998, vol. 52, issue 2, 185-199

Abstract: In the paper we introduce a method of computing M‐estimators in a mixed unbalanced model. The algorithm is based on weighted loglikelihood. It simultaneously finds the estimator of location and scale. Convergence of the algorithm to a solution of M‐equations is proved and a simulation study is given.

Date: 1998
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Persistent link: https://EconPapers.repec.org/RePEc:bla:stanee:v:52:y:1998:i:2:p:185-199

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