S-estimator in partially linear regression models

Yunlu Jiang

Journal of Applied Statistics, 2017, vol. 44, issue 6, 968-977

Abstract: In this paper, a robust estimator is proposed for partially linear regression models. We first estimate the nonparametric component using the penalized regression spline, then we construct an estimator of parametric component by using robust S-estimator. We propose an iterative algorithm to solve the proposed optimization problem, and introduce a robust generalized cross-validation to select the penalized parameter. Simulation studies and a real data analysis illustrate that the our proposed method is robust against outliers in the dataset or errors with heavy tails.

Date: 2017
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DOI: 10.1080/02664763.2016.1189523

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