Reference : Implementing the Bianco and Yohai estimator for logistic regression
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Engineering, computing & technology : Computer science
Implementing the Bianco and Yohai estimator for logistic regression
Croux, C. [> > > >]
Haesbroeck, Gentiane mailto [Université de Liège - ULiège > Département de mathématique > Statistique (aspects théoriques) >]
Computational Statistics & Data Analysis
Elsevier Science Bv
Yes (verified by ORBi)
[en] robust estimation ; influence function ; logistic regression ; maximum likelihood
[en] A fast and stable algorithm to compute a highly robust estimator for the logistic regression model is proposed. A criterium. for the existence of this estimator at finite samples is derived and the problem of the selection of an appropriate loss function is discussed. It is shown that the loss function can be chosen such that the robust estimator exists if and only if the maximum likelihood estimator exists. The advantages of using a weighted version of this estimator are also considered. Simulations and an example give further support for the good performance of the implemented estimators. (C) 2003 Elsevier B.V. All rights reserved.

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