New subject: Q2 correction

19 Dec 2004

Hi, folks.  I've had several conversations (both electronic and in person)
with folks about Problem 2.  Having discussed #2 with Kevin, I need to
issue a general correction.  In my prior email, I described the process of
"breaking" the MM-estimator as creating contaminated coefficients outside
the interval [true.coef +- 2*SE(true.coef)], where SE(true.coef) came from
a regression of the uncontaminated data.

However, in fact, since we're interested in the performance of the
MM-estimator and the inferences we draw from it, you should compare the
true, uncontaminated beta.true coefficients you used to generate the data
to an interval constructed around the *contaminated* coefficients using
the *contaminated* SE's.  That is, the question to ask is "are the
true.coeffs in the interval [beta.MM +- 2*SE(beta.MM)] ?"

In a real, applied data situation, you'll only have the beta.MM and
SE(beta.MM) values from which to draw inferences.  Thus, we want to use
these quantities and see how difficult it is to draw incorrect inferences
from these quantities.

Apologies for getting this wrong in several conversations.  I hope this
description is clear.  Please don't hesistate to ask if it's not.

Sorry for the confusion,
Ryan

Re: [gov1000-list] Q2 correction