Robust Estimation under Linear Mixed Models: The Minimum Density Power Divergence Approach

Many real-life data sets can be analyzed using Linear Mixed Models (LMMs). Since these are ordinarily based on normality assumptions, under small deviations from the model the inference can be highly unstable when the associated parameters are estimated by classical methods. On the other hand, the d...

Full description

Saved in:
Bibliographic Details
Published inarXiv.org
Main Authors Saraceno, Giovanni, Ghosh, Abhik, Basu, Ayanendranath, Agostinelli, Claudio
Format Paper Journal Article
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 12.10.2020
Subjects
Asymptotic methods
Asymptotic properties
Datasets
Divergence
Influence functions
Mathematical models
Maximum likelihood estimators
Normality
Optimization
Parameter estimation
Probability density functions
Robustness
Statistics - Applications
Statistics - Methodology
Online AccessGet full text

Cover

More Information
Summary:Many real-life data sets can be analyzed using Linear Mixed Models (LMMs). Since these are ordinarily based on normality assumptions, under small deviations from the model the inference can be highly unstable when the associated parameters are estimated by classical methods. On the other hand, the density power divergence (DPD) family, which measures the discrepancy between two probability density functions, has been successfully used to build robust estimators with high stability associated with minimal loss in efficiency. Here, we develop the minimum DPD estimator (MDPDE) for independent but non identically distributed observations in LMMs. We prove the theoretical properties, including consistency and asymptotic normality. The influence function and sensitivity measures are studied to explore the robustness properties. As a data based choice of the MDPDE tuning parameter \(\alpha\) is very important, we propose two candidates as "optimal" choices, where optimality is in the sense of choosing the strongest downweighting that is necessary for the particular data set. We conduct a simulation study comparing the proposed MDPDE, for different values of \(\alpha\), with the S-estimators, M-estimators and the classical maximum likelihood estimator, considering different levels of contamination. Finally, we illustrate the performance of our proposal on a real-data example.
ISSN:2331-8422
DOI:10.48550/arxiv.2010.05593