Robust simulation-based estimation

Marc Genton*, Xavier De Luna

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

The simulation-based inferential method called indirect inference was originally proposed for statistical models whose likelihood is difficult or even impossible to compute and/or to maximize. In this paper, indirect estimation is proposed as a device to robustify the estimation for models where this is not possible or difficult with classical techniques such as M-estimators. We derive the influence function of the indirect estimator, and present results about its gross-error sensitivity and asymptotic variance. Two examples from time series are used for illustration.

Original languageEnglish (US)
Pages (from-to)253-259
Number of pages7
JournalStatistics and Probability Letters
Volume48
Issue number3
DOIs
StatePublished - Jul 1 2000

Keywords

  • Asymptotic variance
  • B-robustness
  • Gross-error sensitivity
  • Indirect inference
  • Influence function
  • M-estimator
  • Time series

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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