Bounded influence regression using high breakdown scatter matrices

被引：0
|
作者：
Croux, C
Van Aelst, S
Dehon, C
机构：
[1] Katholieke Univ Leuven, Dept Appl Econ, B-3000 Louvain, Belgium
[2] Univ Ghent, Dept Appl Math & Comp Sci, B-9000 Ghent, Belgium
[3] Univ Libre Brussels, ECARES, B-1050 Brussels, Belgium
来源：
ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2003年 / 55卷 / 02期
关键词：
Fisher-consistency; influence function; robust regression; S-estimators; scatter matrices;
D O I：
暂无
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper we estimate the parameters of a regression model using S-estimators of multivariate location and scatter. The approach is proven to be Fisher-consistent, and the influence functions are derived. The corresponding asymptotic variances are obtained and it is shown how they can be estimated in practice. A comparison with other recently proposed robust regression estimators is made.
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页码：265 / 285
页数：21
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