Robust estimation of the conditional median function at elliptical models
Catherine Dehon (),
Peter Rousseeuw () and
Stefan Van Aelst
Statistics & Probability Letters, 2001, vol. 51, issue 4, 361-368
In this note we study the problem of estimating the parameters of the conditional median function at elliptical models. For this we use positive-breakdown estimators of multivariate location and scatter, and obtain influence functions and asymptotic variances of the resulting slope and intercept. We also consider a technique to gain efficiency by artificially increasing the dimension.
Keywords: Elliptical; model; Median; Regression; Robustness (search for similar items in EconPapers)
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