Robust simulation-based estimation

Marc G. Genton and Xavier de Luna

Statistics & Probability Letters, 2000, vol. 48, issue 3, 253-259

Abstract: The simulation-based inferential method called indirect inference was originally proposed for statistical models whose likelihood is difficult or even impossible to compute and/or to maximize. In this paper, indirect estimation is proposed as a device to robustify the estimation for models where this is not possible or difficult with classical techniques such as M-estimators. We derive the influence function of the indirect estimator, and present results about its gross-error sensitivity and asymptotic variance. Two examples from time series are used for illustration.

Keywords: Asymptotic; variance; B-robustness; Gross-error; sensitivity; Influence; function; M-estimator; Indirect; inference; Time; series (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (3)

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