Robust partial residuals estimation in semiparametric partially linear model

Abstract This paper presents a robust version of partial residuals technique to estimate parametric and nonparametric components in semiparametric partially linear model. The robust estimation of the parametric component is constructed by using an M-estimation after eliminating the effect of the nonparametric component on both the response and covariates based on the pseudo data. Finally, the nonparametric component is estimated robustly by using the residuals from the obtained M-estimation of the parametric component. Simulation studies and a real data analysis illustrate that the proposed estimator performs better than the existing estimations when outliers in the dataset or errors with heavy tails.

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