M-Estimators in Business Statistics

Dehnel Grażyna ()
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Dehnel Grażyna: Poznan University of Economics, Department of Statistics, ; Poznan, ; Poland

Statistics in Transition New Series, 2016, vol. 17, issue 4, 749-762

Abstract: Recent years have seen a dynamic development in statistical methods for analysing data contaminated with outliers. One of the more important techniques that can deal with outlying observations is robust regression, which represents four decades of research. Until recently the implementation of robust regression methods, such as M-estimation or MM-estimation, was limited owing to their iterative nature. With advances in computing power and the growing availability of statistical packages, such as R and SAS, Stata, the applicability of robust regression methods has increased considerably.The aim of the study is to evaluate one of these methods, namely M-estimation, using data from a survey of small and medium-sized businesses. The comparison involves nine M-estimators, each based on a different weighting function. The results and conclusions are formulated on the basis of empirical data from the DG-1 business survey.

Keywords: robust regression; M-estimation; business statistics; outliers (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:stintr:v:17:y:2016:i:4:p:749-762:n:4

DOI: 10.21307/stattrans-2016-050

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