The Choice of the Initial Estimate for Computing MM-Estimates

Marcela Svarc () and Víctor J. Yohai ()
Additional contact information
Marcela Svarc: Universidad de San Andrés, Departamento de Matemática y Ciencias
Víctor J. Yohai: Universidad de Buenos Aires, Departamento de Matemática, Facultad de Ciencias Exactas y Naturales

A chapter in COMPSTAT 2008, 2008, pp 503-515 from Springer

Abstract: Abstract We show, using a Monte Carlo study, that MM-estimates with projection estimates as starting point of an iterative weighted least squares algorithm, behave more robustly than MM-estimates starting at an S-estimate and similar Gaussian efficiency. Moreover the former have a robustness behavior close to the P-estimates with an additional advantage: they are asymptotically normal making statistical inference possible.

Keywords: robust regression; S-estimates; P-estimates (search for similar items in EconPapers)
Date: 2008
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-7908-2084-3_41

Ordering information: This item can be ordered from
http://www.springer.com/9783790820843

DOI: 10.1007/978-3-7908-2084-3_41

Access Statistics for this chapter

More chapters in Springer Books from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().