Robust estimators for generalized linear models

MARINA VALDORA; VÍCTOR J. YOHAI

JOURNAL OF STATISTICAL PLANNING AND INFERENCE

ELSEVIER SCIENCE BV

Lugar: Amsterdam; Año: 2014 vol. 146 p. 31 - 48

0378-3758

In this paper we propose a family of robust estimators for generalized linear models. The basic idea is to use an M-estimator after applying a variance stabilizing transformation to the response. We show the consistency and asymptotic normality of these estimators. We also obtain a lower bound for their breakdown point. A Monte Carlo study shows that the proposed estimators compare favorably with respect to other robust estimators for generalized linear models with Poisson response and log link.