✦ LIBER ✦

Robust simulation-based estimation

✍ Scribed by Marc G. Genton; Xavier de Luna

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 127 KB
Volume: 48
Category: Article
ISSN: 0167-7152
DOI: 10.1016/s0167-7152(00)00004-3

No coin nor oath required. For personal study only.

✦ Synopsis

The simulation-based inferential method called indirect inference was originally proposed for statistical models whose likelihood is di cult or even impossible to compute and=or to maximize. In this paper, indirect estimation is proposed as a device to robustify the estimation for models where this is not possible or di cult with classical techniques such as M-estimators. We derive the in uence function of the indirect estimator, and present results about its gross-error sensitivity and asymptotic variance. Two examples from time series are used for illustration.

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