Estimating the p-values of robust tests for the linear model

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Estimating the p-values of robust tests for the linear model

TitleEstimating the p-values of robust tests for the linear model
Publication TypeJournal Article
Year of Publication2005
AuthorsSalibian-Barrera, M
JournalJOURNAL OF STATISTICAL PLANNING AND INFERENCE
Volume128
Pagination241-257
Date PublishedJAN 15
Type of ArticleArticle
ISSN0378-3758
Keywordsbootstrap, Robust inference, Robust regression, scores test, Wald test
AbstractIn this paper, we study the estimation of p-values for robust tests for the linear regression model. The asymptotic distribution of these tests has only been studied under the restrictive assumption of errors with known scale Or symmetric distribution. Since these robust tests are based on robust regression estimates, Efron's bootstrap (1979) presents a number of problems. In particular, it is computationally very expensive, and it is not resistant to outliers in the data. In other words, the tails of the bootstrap distribution estimates obtained by re-sampling the data may be severely affected by outliers. We show how to adapt the Robust Bootstrap (Ann. Statist 30 (2002) 556; Bootstrapping MM-estimators for linear regression with fixed designs, http://mathstat.carleton.ca/similar tomatias/pubs. html) to this problem. This method is very fast to compute, resistant to outliers in the data, and asymptotically correct under weak regularity assumptions. In this paper, we show that the Robust Bootstrap can be used to obtain asymptotically correct, computationally simple p-value estimates. A simulation study indicates that the tests whose p-values are estimated with the Robust Bootstrap have better finite sample significance levels than those obtained from the asymptotic theory based on the symmetry assumption. Although this paper is focussed on robust scores-type tests (in: Directions in Robust Statistics and Diagnostics, Part 1, Springer, New York), our approach can be applied to other robust tests (for example, Wald- and dispersion-type also discussed in Markatou et a]., 1991). (C) 2003 Elsevier B.V. All rights reserved.
DOI10.1016/j.jspi.2003.09.033