Robust estimation in beta regression via maximum L $$_q$$ q -likelihood

Terezinha K. A. Ribeiro () and Silvia L. P. Ferrari ()
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Terezinha K. A. Ribeiro: University of Brasília
Silvia L. P. Ferrari: University of São Paulo

Statistical Papers, 2023, vol. 64, issue 1, No 14, 353 pages

Abstract: Abstract Beta regression models are widely used for modeling continuous data limited to the unit interval, such as proportions, fractions, and rates. The inference for the parameters of beta regression models is commonly based on maximum likelihood estimation. However, it is known to be sensitive to discrepant observations. In some cases, one atypical data point can lead to severe bias and erroneous conclusions about the features of interest. In this work, we develop a robust estimation procedure for beta regression models based on the maximization of a reparameterized L $$_q$$ q -likelihood. The new estimator offers a trade-off between robustness and efficiency through a tuning constant. To select the optimal value of the tuning constant, we propose a data-driven method which ensures full efficiency in the absence of outliers. We also improve on an alternative robust estimator by applying our data-driven method to select its optimum tuning constant. Monte Carlo simulations suggest marked robustness of the two robust estimators with little loss of efficiency when the proposed selection scheme for the tuning constant is employed. Applications to three datasets are presented and discussed. As a by-product of the proposed methodology, residual diagnostic plots based on robust fits highlight outliers that would be masked under maximum likelihood estimation.

Keywords: Beta regression; Bounded influence function; L $$_q$$ q -likelihood; Outliers; Residuals; Robustness (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00362-022-01320-0

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