Implementing the Bianco and Yohai estimator for logistic regression

[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.

Disciplines :

Mathematics
Computer science

Author, co-author :

Croux, C.

Haesbroeck, Gentiane ; Université de Liège - ULiège > Département de mathématique > Statistique (aspects théoriques)

Language :

English

Title :

Implementing the Bianco and Yohai estimator for logistic regression

Publication date :

28 October 2003

Journal title :

Computational Statistics and Data Analysis

ISSN :

0167-9473

eISSN :

1872-7352

Publisher :

Elsevier Science Bv, Amsterdam, Netherlands

Volume :

Issue :

1-2

Pages :

273-295

Peer reviewed :

Peer Reviewed verified by ORBi

Available on ORBi :

since 23 September 2009

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Bibliography

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