A comparative study of some robust methods for coefficient-estimation in linear regression

DOI10.1016/S0167-9473(96)00046-1zbMath0900.62168OpenAlexW2012815159MaRDI QIDQ1391996

D. Massart

Publication date: 23 July 1998

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(96)00046-1

zbMATH Keywords

SimulationOutliersHeavy-tailed distributionsFunctional least squaresLeast median of SquaresTrimmed least squares

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ EXPLORING THE IMPACT OF CALENDAR EFFECTS ON THE DYNAMIC STRUCTURE AND FORECASTS OF FINANCIAL TIME SERIES ⋮ Applied regression analysis bibliography update 1994-97 ⋮ A Monte Carlo comparison of several high breakdown and efficient estimators ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

Cites Work

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• Multivariate functional least squares
• Reweighted LS estimators converge at the same rate as the initial estimator
• Aspects of robust linear regression
• Robust regression: Asymptotics, conjectures and Monte Carlo
• The asymptotics of S-estimators in the linear regression model
• Certain Uncorrelated Statistics
• Least Median of Squares Regression
• An angular approach for linear data
• Trimmed Least Squares Estimation in the Linear Model
• On the estimation of slope and the identification of outliers in linear regression
• Robust Statistics

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