Robust estimators in a generalized partly linear regression model under monotony constraints

Graciela Boente (), Daniela Rodriguez () and Pablo Vena ()
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Graciela Boente: Universidad de Buenos Aires and CONICET
Daniela Rodriguez: Universidad de Buenos Aires and CONICET
Pablo Vena: Universidad de Buenos Aires and CONICET

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2020, vol. 29, issue 1, No 5, 50-89

Abstract: Abstract In this paper, we consider the situation in which the observations follow an isotonic generalized partly linear model. Under this model, the mean of the responses is modelled, through a link function, linearly on some covariates and nonparametrically on an univariate regressor in such a way that the nonparametric component is assumed to be a monotone function. A class of robust estimates for the monotone nonparametric component and for the regression parameter, related to the linear one, is defined. The robust estimators are based on a spline approach combined with a score function which bounds large values of the deviance. As an application, we consider the isotonic partly linear log-Gamma regression model. Under regularity conditions, we derive consistency results for the nonparametric function estimators as well as consistency and asymptotic distribution results for the regression parameter estimators. Besides, the empirical influence function allows us to study the sensitivity of the estimators to anomalous observations. Through a Monte Carlo study, we investigate the performance of the proposed estimators under a partly linear log-Gamma regression model with increasing nonparametric component. The proposal is illustrated on a real data set.

Keywords: B-splines; Deviance; Isotonic regression; Partial linear models; Robust estimation; 62F30; 62G35 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11749-019-00629-7

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