Higher-Order Infinitesimal Robustness

• 成果类型: Article
• 署名作者: La Vecchia, Davide; Ronchetti, Elvezio; Trojani, Fabio
• 署名单位: Monash University; University of Geneva; University of Geneva; Universita della Svizzera Italiana; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2012.738580
• 发表日期: 2012
• 页码: 1546-1557
• 关键词: minimum hellinger distance; logistic-regression; functionals; expansions; EQUATIONS; models

摘要

Using the von Mises expansion, we study the higher-order infinitesimal robustness of a general M-functional and characterize its second-order properties. We show that second-order robustness is equivalent to the boundedness of both the estimator's estimating function and its derivative with respect to the parameter. It implies, at the same time, (i) variance robustness and (ii) robustness of higher-order saddlepoint approximations to the estimator's finite sample density. The proposed construction of second-order robust M-estimators is fairly general and potentially useful in a variety of relevant settings. Besides the theoretical contributions, we discuss the main computational issues and provide an algorithm for the implementation of second-order robust M-estimators. Finally, we illustrate our theory by Monte Carlo simulation and in a real-data estimation of the maximal losses of Nikkei 225 index returns. Our finding indicate that second-order robust estimators can improve on other widely applied robust estimators, in terms of efficiency and robustness, for moderate to small sample sizes and in the presence of deviations from ideal parametric models. Supplementary materials for this article are available online.