Regularized robust estimation in binary regression models

In this paper, we investigate robust parameter estimation and variable selection for binary regression models with grouped data. We investigate estimation procedures based on the minimum-distance approach. In particular, we employ minimum Hellinger and minimum symmetric chi-squared distances criteri...

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Veröffentlicht in:Journal of applied statistics 2022-02, Vol.49 (3), p.574-598
Hauptverfasser: Tang, Qingguo, Karunamuni, Rohana J., Liu, Boxiao
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Sprache:eng
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Zusammenfassung:In this paper, we investigate robust parameter estimation and variable selection for binary regression models with grouped data. We investigate estimation procedures based on the minimum-distance approach. In particular, we employ minimum Hellinger and minimum symmetric chi-squared distances criteria and propose regularized minimum-distance estimators. These estimators appear to possess a certain degree of automatic robustness against model misspecification and/or for potential outliers. We show that the proposed non-penalized and penalized minimum-distance estimators are efficient under the model and simultaneously have excellent robustness properties. We study their asymptotic properties such as consistency, asymptotic normality and oracle properties. Using Monte Carlo studies, we examine the small-sample and robustness properties of the proposed estimators and compare them with traditional likelihood estimators. We also study two real-data applications to illustrate our methods. The numerical studies indicate the satisfactory finite-sample performance of our procedures.
ISSN:0266-4763
1360-0532
DOI:10.1080/02664763.2020.1822304