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Sensitivity Analysis of M-Estimates of Nonlinear Regression Model: Influence of Data Subsets |
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| Authors: | Jan Ámos Víšek |
| Affiliation: | (1) Department of Stochastic Informatics, Institute of Information Theory and Automation, Academy of Sciences, the Czech Republic;(2) Department of Macroeconomics, Institute of Economic Studies, Charles University, Opletalova ulice 26, CZ-110 01 Prague 1, the Czech Republic |
| Abstract: | Asymptotic representations of the difference of M-estimators of the parameters of nonlinear regression model for the full data and for the subsample of data are given for the following three situation: i) fix number of points excluded from data, ii) increasing number, however asymptotically negligible part of data excluded, and finally iii) asymptotically fix portion of data excluded. Asymptotic normality of the difference of estimators (for the two latter cases) is proved. |
| Keywords: | Sensitivity analysis asymptotic representation asymptotic distribution of the difference of M-estimators testing subsample stability of estimates scale invariance diagnostics of subsets of influential points diversity of estimates |
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