On The So-Called “Huber Sandwich Estimator” and “Robust Standard Errors”
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On The So - Called “ Huber Sandwich Estimator ” and “ Robust Standard Errors ” by
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 mean...
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ژورنال
عنوان ژورنال: The American Statistician
سال: 2006
ISSN: 0003-1305,1537-2731
DOI: 10.1198/000313006x152207