The generalized log-gamma (GLG) model is a very flexible family of distributions to analyze datasets in many different areas of science and technology. Estimators are proposed which are simultaneously highly robust and highly efficient for the parameters of a GLG distribution in the presence of censoring. Estimators with the same properties for accelerated failure time models with censored observations and error distribution belonging to the GLG family are also introduced. It is proven that the proposed estimators are asymptotically fully efficient and the maximum mean square error is examined using Monte Carlo simulations. The simulations confirm that the proposed estimators are highly robust and highly efficient for a finite sample size. Finally, the benefits of the proposed estimators in applications are illustrated with the help of two real datasets.

Robust estimators of accelerated failure time regression with generalized log-gamma errors / Agostinelli, Claudio; Locatelli, I.; Marazzi, A.; Yohai, V. J.. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 2017:107(2017), pp. 92-106. [10.1016/j.csda.2016.10.012]

Robust estimators of accelerated failure time regression with generalized log-gamma errors

Agostinelli, Claudio;
2017-01-01

Abstract

The generalized log-gamma (GLG) model is a very flexible family of distributions to analyze datasets in many different areas of science and technology. Estimators are proposed which are simultaneously highly robust and highly efficient for the parameters of a GLG distribution in the presence of censoring. Estimators with the same properties for accelerated failure time models with censored observations and error distribution belonging to the GLG family are also introduced. It is proven that the proposed estimators are asymptotically fully efficient and the maximum mean square error is examined using Monte Carlo simulations. The simulations confirm that the proposed estimators are highly robust and highly efficient for a finite sample size. Finally, the benefits of the proposed estimators in applications are illustrated with the help of two real datasets.
2017
107
Agostinelli, Claudio; Locatelli, I.; Marazzi, A.; Yohai, V. J.
Robust estimators of accelerated failure time regression with generalized log-gamma errors / Agostinelli, Claudio; Locatelli, I.; Marazzi, A.; Yohai, V. J.. - In: COMPUTATIONAL STATISTICS & DATA ANALYSIS. - ISSN 0167-9473. - 2017:107(2017), pp. 92-106. [10.1016/j.csda.2016.10.012]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11572/175249
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