High Breakdown-Point and High Efficiency Robust Estimates for Regression
Yohai, Victor J.
Ann. Statist., Tome 15 (1987) no. 1, p. 642-656 / Harvested from Project Euclid
A class of robust estimates for the linear model is introduced. These estimates, called MM-estimates, have simultaneously the following properties: (i) they are highly efficient when the errors have a normal distribution and (ii) their breakdown-point is 0.5. The MM-estimates are defined by a three-stage procedure. In the first stage an initial regression estimate is computed which is consistent robust and with high breakdown-point but not necessarily efficient. In the second stage an M-estimate of the errors scale is computed using residuals based on the initial estimate. Finally, in the third stage an M-estimate of the regression parameters based on a proper redescending psi-function is computed. Consistency and asymptotical normality of the MM-estimates assuming random carriers are proved. A convergent iterative numerical algorithm is given. Finally, the asymptotic biases under contamination of optimal bounded influence estimates and MM-estimates are compared.
Publié le : 1987-06-14
Classification:  Linear model,  robust estimation,  high breakdown-point,  high efficiency,  62F35,  62J05
@article{1176350366,
     author = {Yohai, Victor J.},
     title = {High Breakdown-Point and High Efficiency Robust Estimates for Regression},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 642-656},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350366}
}
Yohai, Victor J. High Breakdown-Point and High Efficiency Robust Estimates for Regression. Ann. Statist., Tome 15 (1987) no. 1, pp.  642-656. http://gdmltest.u-ga.fr/item/1176350366/