Robust inference in generalized linear models

BIANCO, ANA; BOENTE, GRACIELA; RODRIGUES, ISABEL

Colmenarejo

Workshop; International Workshop on Applied Probability (IWAP 2010); 2010

In many situations, data follow a generalized linear model in which the mean of the responses is modeled, through a link function, linearly on the covariates. In this paper, robust estimators for the regression parameter are considered in order to build test statistics for this parameter. We derive the asymptotic behavior of the robust estimators for the regression parameter under the null hypothesis and under contiguous alternatives in order to obtain that of the robust Wald test statistic.