Robust weighted orthogonal regression in the errors-in-variables model

M. Fekri and Anne Ruiz-Gazen

Journal of Multivariate Analysis, 2004, vol. 88, issue 1, 89-108

Abstract: This paper focuses on robust estimation in the structural errors-in-variables (EV) model. A new class of robust estimators, called weighted orthogonal regression estimators, is introduced. Robust estimators of the parameters of the EV model are simply derived from robust estimators of multivariate location and scatter such as the M-estimators, the S-estimators and the MCD estimator. The influence functions of the proposed estimators are calculated and shown to be bounded. Moreover, we derive the asymptotic distributions of the estimators and illustrate the results on simulated examples and on a real-data set.

Keywords: Errors-in-variables; model; General; least; squares; Robustness; Influence; function; M-estimators; S-estimators; MCD; estimator (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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