A one-step robust estimator for regression based on the weighted likelihood reweighting scheme

Claudio Agostinelli and Marianthi Markatou

Statistics & Probability Letters, 1998, vol. 37, issue 4, 341-350

Abstract: We propose a one-step estimator for the vector of regression and error-scale parameters in a linear regression model. The estimator is asymptotically normal and fully efficient. Given appropriate initial values it achieves very low bias and high breakdown point.

Keywords: Breakdown; point; Efficiency; Influence; Robust; Weighted; likelihood (search for similar items in EconPapers)
Date: 1998
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