On the robust rank analysis of linear models with nonsymmetric error distributions (Q1069601)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the robust rank analysis of linear models with nonsymmetric error distributions |
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On the robust rank analysis of linear models with nonsymmetric error distributions (English)
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1986
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The robust analysis of linear models based on R-estimates involves an estimate of a scale parameter which is used in the analysis as a standardizing constant. The consistency of previous estimates of this scale parameter required that the underlying errors be symmetrically distributed. This assumption is not always warranted, for instance in survival models. A new estimate is proposed for the scale parameter and it is shown to be consistent for nonsymmetric and symmetric error distributions. With this new scale estimate, a complete robust analysis of a linear model can be accomplished without assuming symmetry. The small sample properties of the analysis are examined in a Monte Carlo study of several different situations.
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robust rank analysis
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general linear hypothesis
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R-estimates
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consistency
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nonsymmetric and symmetric error distributions
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scale estimate
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linear model
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small sample properties
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