Cattaneo, Marco E. G. V.; Wiencierz, Andrea
(29. November 2011):
Likelihood-based Imprecise Regression.
Department of Statistics: Technical Reports, Nr. 116
We introduce a new approach to regression with imprecisely observed data, combining likelihood inference with ideas from imprecise probability theory, and thereby taking different kinds of uncertainty into account. The approach is very general and applicable to various kinds of imprecise data, not only to intervals.
In the present paper, we propose a regression method based on this approach, where no parametric distributional assumption is needed and interval estimates of quantiles of the error distribution are used to identify plausible descriptions of the relationship of interest. Therefore, the proposed regression method is very robust.
We apply our robust regression method to an interesting question in the social sciences. The analysis, based on survey data, yields a relatively imprecise result, reflecting the high amount of uncertainty inherent in the analyzed data set.