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Robustness of Deepest Regression

Stefan Van Aelst and Peter Rousseeuw ()

Journal of Multivariate Analysis, 2000, vol. 73, issue 1, 82-106

Abstract: In this paper we investigate the robustness properties of the deepest regression, a method for linear regression introduced by Rousseeuw and Hubert [6]. We show that the deepest regression functional is Fisher-consistent for the conditional median, and has a breakdown value of in all dimensions. We also derive its influence function, and compare it with sensitivity functions.

Keywords: breakdown value; influence function; regression depth (search for similar items in EconPapers)
Date: 2000
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