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Statistical Methods and Applications

, Volume 11, Issue 2, pp 175–185 | Cite as

Quasi-likelihood fromM-estimators: A numerical comparison with empirical likelihood

  • Gianfranco Adimari
  • Laura Ventura
Statistical Methods

Abstract

In this paper we compare two robust pseudo-likelihoods for a parameter of interest, also in the presence of nuisance parameters. These functions are obtained by computing quasi-likelihood and empirical likelihood from the estimating equations which define robustM-estimators. Application examples in the context of linear transformation models are considered. Monte Carlo studies are performed in order to assess the finite-sample performance of the inferential procedures based on quasi-and empirical likelihood, when the objective is the construction of robust confidence regions.

Key words

Estimating equation linear transformation models profile likelihood pseudo likelihood robustness 

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Copyright information

© Springer-Verlag 2002

Authors and Affiliations

  • Gianfranco Adimari
    • 1
  • Laura Ventura
    • 1
  1. 1.Dipartimento di Scienze StatisticheUniversità degli Studi di PadovaPadova

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