Inferences of variance function - a parametric robust way

Tsung-Shan Tsou

Journal of Applied Statistics, 2005, vol. 32, issue 8, 785-796

Abstract: Tsou (2003a) proposed a parametric procedure for making robust inference for mean regression parameters in the context of generalized linear models. This robust procedure is extended to model variance heterogeneity. The normal working model is adjusted to become asymptotically robust for inference about regression parameters of the variance function for practically all continuous response variables. The connection between the novel robust variance regression model and the estimating equations approach is also provided.

Keywords: Generalized linear models; variance function; robust profile likelihood; normal regression (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (2)

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DOI: 10.1080/02664760500079803

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