Robust linear regression via bounded influence M-estimators

Chi-Lun Cheng

Journal of Multivariate Analysis, 1992, vol. 40, issue 1, 158-171

Abstract: We investigate optimal bounded influence M-estimators in the general normal regression model with respect to different sensitivities. As a result, we answer some open questions in F. R. Hampel et al. (Robust Statistics, Chap. 6, Wiley, New York). Moreover, we examine the relationship among different sensitives and their associated optimal estimators and extend the idea of change- of -variance sensitivity to the case of the predicted value.

Keywords: robust; regression; influence; function; sensitivity; change-of-variance; function (search for similar items in EconPapers)
Date: 1992
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