|This centre is a member of The LSE Research Laboratory [RLAB]: CASE | CVER | CEP | SERC | STICERD||Cookies?|
Paper No' DARP 057: | Full paper
Save Reference as: BibTeX File | EndNote Import File
Keywords: M-estimators; influence function, EM algorithm, truncated data.
Is hard copy/paper copy available? YES - Paper Copy Still In Print.
This Paper is published under the following series: Distributional Analysis Research Programme
Share this page: Google Bookmarks | Facebook | Twitter
Abstract:With income distributions it is common to encounter the problem of missing data. When a parametric model is fitted to the data, the problem can be overcome by specifying the marginal distribution of the observed data. With classical methods of estimation such as the maximum likelihood (ML) an estimator of the parameters can be obtained in a straightforward manner. Unfortunately, it is well known that ML estimators are not robust estimators in the presence of contaminated data. In this paper, we propose a robust alternative to the ML estimator with truncated data, namely one based on M-estimators that we call the EMM estimator. We present an extensive simulation study where the EMM estimator based on optimal B-robust estimators (OBRE) is compared to a more conservative approach based on marginal density (MD) for truncated data, and show that the difference lies in the way the weights associated to each observation are computed. Finally, we also compare the EMM estimator based on the OBRE with the classical ML estimator when the data are contaminated, and show that contrary to the former, the latter can be seriously biased.
Copyright © RLAB & LSE 2003 - 2018 | LSE, Houghton Street, London WC2A 2AE | Contact: RLAB | Site updated 18 March 2018