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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제20권 제5호
- 발행연도
- 2018.1
- 수록면
- 2,177 - 2,187 (11page)
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In analyzing data set we usually assume a tentative model that seems to be valid. But the assumed model may be incorrect in respect of distributional assumption, regression relationship, and so on. The incorrect model usually causes larger variance estimates than the naive variance estimates that are given as the inverse of Hessian matrix. In this paper, we discuss robust variance estimates that are more valid in the presence of model misspecification. Through a Monte Carlo study we investigate the improvement of robust variance estimates against the naive estimates in respect of attaining nominal coverage probabilities for the regression coefficients of generalized linear models. We consider logistic GLMs for binomial responses versus beta-binomial or zero-inflated binomial responses, and also loglinear GLMs for Poisson counts versus negative binomial or zero-inflated counts responses. In the presence of model misspecification, the robust covariance estimator appears to be desirable in attaining nominal significance level.
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참고문헌 (19)
참고문헌 신청
Akaike, H. / 1973 / Information theory and an extension of the maximum likelihood principle / Proceedings of the Second International Symposium on Information Theory :267~281
Cramer, H. / 1946 / Mathematical Methods of Statistics / Princeton University Press
Eicker, F. / 1967 / Limit theorems for regressions with unequal and dependent errors / Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability 1:59~82
Freedman, D. A. / 2006 / On the so-called "Huber sandwich estimator" and "robust standard errors" / The American Statistician 60:299~302
Huber, P. J. / 1967 / The behavior of maximum likelihood estimates under nonstandard conditions / Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability 1:221~233
Cramer, H. / 1946 / Mathematical Methods of Statistics / Princeton University Press
Eicker, F. / 1967 / Limit theorems for regressions with unequal and dependent errors / Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability 1:59~82
Freedman, D. A. / 2006 / On the so-called "Huber sandwich estimator" and "robust standard errors" / The American Statistician 60:299~302
Huber, P. J. / 1967 / The behavior of maximum likelihood estimates under nonstandard conditions / Proceedings of the Fifth Berkeley Symposium on Mathematical Statistics and Probability 1:221~233
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