A Note on Restricted Maximum Likelihood Estimation with an Alternative Outlier Model
Journal of the Royal Statistical Society: Series B (Statistical Methodology) · 1985 · Volume 47 · Issue 1
DOI: 10.1111/j.2517-6161.1985.tb01329.x
Abstract
For single outliers in normal theory fixed effects models a mean slippage model is commonly used. An alternative is to model the outlier as arising from an unknown observation with inflated variance. Maximum likelihood estimates for the position of the outlier under the two models need not agree. This paper considers maximizing a restricted part of the likelihood to estimate the variance parameters and characterizes these estimates in terms of standard least squares parameters. It is shown that the residual variance and outlier position are the same under both models.
Keywords
outliers, linear models, restricted maximum likelihood estimation, mean slippage models, variance slippage models
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