On the so-called "Huber Sandwich Estimator" and "Robust Standard Errors"
On the so-called "Huber Sandwich Estimator" and "Robust Standard Errors"
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DOI：
10.1198/000313006x152207
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发表时间：
2006-11-01
影响因子：
1.8
通讯作者：
Freedman, David A.
中科院分区：
文献类型：
--
作者：
Freedman, David A.
当基础模型不正确时，“Huber Sandwich Estimate”可用于估计MLE的方差。如果模型几乎是正确的，那么通常的标准误差也是正确的，鲁棒性不太可能有多大帮助。另一方面，如果模型存在严重错误，三明治可能有助于方差方面，但由MLE估计的参数可能是没有意义的，除非可能是描述性统计。
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.