On the maximum bias functions of MM-estimates and constrained M-estimates of regression
Berrendero, José R. ; Mendes, Beatriz V. M. ; Tyler, David E.
Ann. Statist., Tome 35 (2007) no. 1, p. 13-40 / Harvested from Project Euclid
We derive the maximum bias functions of the MM-estimates and the constrained M-estimates or CM-estimates of regression and compare them to the maximum bias functions of the S-estimates and the τ-estimates of regression. In these comparisons, the CM-estimates tend to exhibit the most favorable bias-robustness properties. Also, under the Gaussian model, it is shown how one can construct a CM-estimate which has a smaller maximum bias function than a given S-estimate, that is, the resulting CM-estimate dominates the S-estimate in terms of maxbias and, at the same time, is considerably more efficient.
Publié le : 2007-02-14
Classification:  Robust regression,  M-estimates,  S-estimates,  constrained M-estimates,  maximum bias curves,  breakdown point,  gross error sensitivity,  62F35,  62J05
@article{1181100179,
     author = {Berrendero, Jos\'e R. and Mendes, Beatriz V. M. and Tyler, David E.},
     title = {On the maximum bias functions of MM-estimates and constrained M-estimates of regression},
     journal = {Ann. Statist.},
     volume = {35},
     number = {1},
     year = {2007},
     pages = { 13-40},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1181100179}
}
Berrendero, José R.; Mendes, Beatriz V. M.; Tyler, David E. On the maximum bias functions of MM-estimates and constrained M-estimates of regression. Ann. Statist., Tome 35 (2007) no. 1, pp.  13-40. http://gdmltest.u-ga.fr/item/1181100179/