Least Trimmed Squares Estimator in the Errors-in-Variables Model

Kang-Mo Jung

Journal of Applied Statistics, 2007, vol. 34, issue 3, 331-338

Abstract: We propose a robust estimator in the errors-in-variables model using the least trimmed squares estimator. We call this estimator the orthogonal least trimmed squares (OLTS) estimator. We show that the OLTS estimator has the high breakdown point and appropriate equivariance properties. We develop an algorithm for the OLTS estimate. Simulations are performed to compare the efficiencies of the OLTS estimates with the total least squares (TLS) estimates and a numerical example is given to illustrate the effectiveness of the estimate.

Keywords: Breakdown point; equivariance; errors-in-variables model; least trimmed squares estimator; orthogonal regression (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (1)

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DOI: 10.1080/02664760601004973

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