Robust Estimates in Generalized Partially Linear Models

BOENTE, GRACIELA; HE, XUMING; ZHOU, JIANHUI

ANNALS OF STATISTICS, THE

Institute of Mathematical Statistics

Año: 2006 vol. 34 p. 2856 - 2878

0090-5364

In this paper, we introduce a family of robust estimates for the parametric and nonparametric components under a generalized partially linear model, where the data are modeled by yi| (xi,ti)~ F (., mi) with mi =H (h(ti)+ xi’b), for some known distribution function F and link function H. It is shown that the estimates of b are root-n consistent and asymptotically normal. Through a Monte Carlo study the performance of these estimators is compared with that of the classical ones.