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Robust and accurate inference for generalized linear models

Lô, Serigne N. ; Ronchetti, Elvezio

In: Journal of multivariate analysis, 2009, vol. 100, no. 9, p. 2126-2136

In the framework of generalized linear models, the nonrobustness of classical estimators and tests for the parameters is a well known problem and alternative methods have been proposed in the literature. These methods are robust and can cope with deviations from the assumed distribution. However, they are based on ¯rst order asymptotic theory and their accuracy in moderate to small samples...