A local breakdown property of robust tests in linear regression

Xuming He

Journal of Multivariate Analysis, 1991, vol. 38, issue 2, 294-305

Abstract: The breakdown slope, as a useful summary measure of local stability for estimators and test statistics, has been studied recently by He, Simpson, and Protnoy (1990, J. Amer. Statist. Assoc., 85). It is shown here that all regression estimates based on residuals alone in linear models have zero breakdown slopes in contamination neighborhoods, even though they can have breakdown points as high as one-half. The breakdown functions of tests based on the S-estimation are investigated. It is also shown that the Generalized M-estimators can have better local breakdown robustness. One way to obtain regression estimators with desirable local and global breakdown properties is discussed.

Keywords: Breakdown; slope; influence; function; linear; regression; robust; estimation; S-estimator; test; statistic (search for similar items in EconPapers)
Date: 1991
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Citations: View citations in EconPapers (11)

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