论文标题

通过最大LQ类样的Beta回归估算的强大估计

Robust estimation in beta regression via maximum Lq-likelihood

论文作者

Ribeiro, Terezinha K. A., Ferrari, Silvia L. P.

论文摘要

Beta回归模型被广泛用于建模连续数据限于单位间隔,例如比例,分数和速率。 Beta回归模型参数的推断通常基于最大似然估计。但是,众所周知,它对差异观察很敏感。在某些情况下,一个非典型数据点会导致有关感兴趣的特征的严重偏见和错误的结论。在这项工作中,我们基于重新聚集LQ类似物的最大化为Beta回归模型开发了强大的估计程序。新的估计器通过调谐常数在鲁棒性和效率之间进行了权衡。为了选择调谐常数的最佳值,我们提出了一种数据驱动的方法,该方法在没有异常值的情况下确保了全部效率。我们还通过应用数据驱动方法选择其最佳调谐常数来改进替代性鲁棒估计器。蒙特卡洛模拟表明两个鲁棒估计器的鲁棒性,效率损失很小。介绍和讨论了三个数据集的应用程序。作为拟议方法论的副产品,基于强大的拟合拟合诊断图突出显示了在最大似然估计下将掩盖的突出异常值。

Beta regression models are widely used for modeling continuous data limited to the unit interval, such as proportions, fractions, and rates. The inference for the parameters of beta regression models is commonly based on maximum likelihood estimation. However, it is known to be sensitive to discrepant observations. In some cases, one atypical data point can lead to severe bias and erroneous conclusions about the features of interest. In this work, we develop a robust estimation procedure for beta regression models based on the maximization of a reparameterized Lq-likelihood. The new estimator offers a trade-off between robustness and efficiency through a tuning constant. To select the optimal value of the tuning constant, we propose a data-driven method which ensures full efficiency in the absence of outliers. We also improve on an alternative robust estimator by applying our data-driven method to select its optimum tuning constant. Monte Carlo simulations suggest marked robustness of the two robust estimators with little loss of efficiency. Applications to three datasets are presented and discussed. As a by-product of the proposed methodology, residual diagnostic plots based on robust fits highlight outliers that would be masked under maximum likelihood estimation.

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