期刊
AMERICAN STATISTICIAN
卷 60, 期 4, 页码 299-302出版社
TAYLOR & FRANCIS INC
DOI: 10.1198/000313006X152207
关键词
maximum likelihood; specification error; White's correction
The Huber Sandwich Estimator can be used to estimate the variance of the MLE when the underlying model is incorrect. If the model is nearly correct, so are the usual standard errors, and robustification is unlikely to help much. On the other hand, if the model is seriously in error, the sandwich may help on the variance side, but the parameters being estimated by the MLE are likely to be meaningless-except perhaps as descriptive statistics.
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