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Brazzale, A. R. and Ventura, L. (2001) A robust conditional approximation of marginal tail probabilities. [Working Paper] WORKING PAPER SERIES, 12/2001 . , PADOVA (Inedito)

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Abstract (english)

The aim of this contribution is to derive a robust approximate conditional procedure used to eliminate nuisance parameters in regression and scale models. Unlike the approximations to exact conditional solutions based on the likelihood function and on the maximum likelihood estimator, the robust conditional approximation of marginal tail probabilities does not suffer from lack of robustness to model misspecification. To assess the performance of the proposed robust conditional procedure the results of sensitivity analyses are discussed.


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EPrint type:Working Paper
Anno di Pubblicazione:July 2001
Key Words:Ancillary; Asymptotic Theory; Conditioning; M-estimator; Regression and Scale Model; Robustness; Sensitivity Analysis.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7361
Depositato il:15 Dec 2014 14:09
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