Year: 2014
Type: preprint
Abstract: We study weighted M-estimators for $\mathbb{R}^d$-valued clustered data and give sufficient conditions for their consistency. Their asymptotic normality is established with estimation of the asymptotic covariance matrix. We address the robustness of these estimators in terms of their breakdown point. Comparison with the unweighted case is performed with some numerical studies. They highlight that optimal weights maximizing the relative efficiency have a bad impact on the breakdown point.
Source: arXiv (Cornell University)
Authors: Asri, Mohammed El, Blanke, Delphine, Gabriel, Edith
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W2365006792