Weighted M-estimators for multivariate clustered data

M. El Asri, D. Blanke and E. Gabriel

Statistics & Probability Letters, 2016, vol. 112, issue C, 26-34

Abstract: We study weighted M-estimators for Rd-valued clustered data and give sufficient conditions for their consistency. Their asymptotic normality is established with estimation of the asymptotic covariance matrix. We address the robustness of these estimators in terms of their breakdown point. Comparison with the unweighted case is performed with some numerical studies. They highlight that optimal weights maximizing the relative efficiency have a bad impact on the breakdown point.

Keywords: M-estimation; Clustered data; Efficiency; Breakdown point (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1016/j.spl.2016.01.016

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