-Consistent robust integration-based estimation

Sung Jae Jun, Joris Pinkse and Yuanyuan Wan

Journal of Multivariate Analysis, 2011, vol. 102, issue 4, 828-846

Abstract: We propose a new robust estimator of the regression coefficients in a linear regression model. The proposed estimator is the only robust estimator based on integration rather than optimization. It allows for dependence between errors and regressors, is -consistent, and asymptotically normal. Moreover, it has the best achievable breakdown point of regression invariant estimators, has bounded gross error sensitivity, is both affine invariant and regression invariant, and the number of operations required for its computation is linear in n. An extension would result in bounded local shift sensitivity, also.

Keywords: Robust; regression; Linear; model; Integration-based; estimator; High; breakdown; point; estimator (search for similar items in EconPapers)
Date: 2011
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