Abstract
In this paper the estimating equation is constructed via statistical depth. The obtained estimating equation and parameter estimation have desirable robustness, which attain very high breakdown values close to 1/2. At the same time, the obtained parameter estimation still has ordinary asymptotic behaviours such as asymptotic normality. In particular, the robust quasi likelihood and depth-weighted LSE respectively for nonlinear and linear regression model are introduced. A suggestion for choosing weight function and a method of constructing depth-weighed quasi likelihood equation are given.
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This paper is supported by NNSF projects (10371059 and 10171051) of China.
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Lin, L., Chen, M. Robust estimating equation based on statistical depth. Statistical Papers 47, 263–278 (2006). https://doi.org/10.1007/s00362-005-0287-2
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DOI: https://doi.org/10.1007/s00362-005-0287-2