The multivariate least-trimmed squares estimator

Jose Agulló, Christophe Croux and Stefan Van Aelst

Journal of Multivariate Analysis, 2008, vol. 99, issue 3, 311-338

Abstract: In this paper we introduce the least-trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisher-consistency at the multivariate regression model with elliptically symmetric error distribution and derive the influence function. Simulations investigate the finite-sample efficiency and robustness of the estimator. To increase the efficiency of the estimator, we also consider a one-step reweighted estimator.

Keywords: Multivariate; regression; Breakdown; point; Influence; function; Minimum; covariance; determinant; estimator (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (18)

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