Robust inference for generalized linear models: binary and poisson regression
Generalized Linear Models have become a commonly used tool of data analysis. Such models are used to fit regressions for univariate responses with normal, gamma, binomial or Poisson distribution. Maximum likelihood is generally applied as fitting method. In the usual regression setting the least absolute-deviations estimator (L1-norm) is a popular alternative to least squares (L2-norm) because of its simplicity and its robustness properties. In the first part of this thesis we examine the question of how much of these robustness features carry over to the setting of generalized linear models. We study a robust procedure based on the minimum absolute deviation estimator of Morgenthaler (1992), the Lq quasi-likelihood when q = 1. In particular, we investigate the influence function of these estimates and we compare their sensitivity to that of the maximum likelihood estimate. Furthermore we particularly explore the Lq quasi-likelihood estimates in binary regression. These estimates are difficult to compute. We derive a simpler estimator, which has a similar form as the Lq quasi-likelihood estimate. The resulting estimating equation consists in a simple modification of the familiar maximum likelihood equation with the weights wq(μ). This presents an improvement compared to other robust estimates discussed in the literature that typically have weights, which depend on the couple (xi, yi) rather than on μi = h(xiT β) alone. Finally, we generalize this estimator to Poisson regression. The resulting estimating equation is a weighted maximum likelihood with weights that depend on μ only.
Keywords: Robustness ; Generalized linear models ; Binary regression ; Poisson regression ; Maximum quasi-likelihood ; Robustesse ; Modèles linéaires généralisés ; Régression binaire ; Régression de Poisson ; Maximum quasi-vraisemblanceThèse École polytechnique fédérale de Lausanne EPFL, n° 4386 (2009)
Programme doctoral Mathématiques
Faculté des sciences de base
Institut de mathématiques
Chaire de statistique appliquée
Record created on 2009-04-06, modified on 2016-08-08