M Estimation of Multivariate Regressions

DOI10.2307/2289602MaRDI QIDQ3971654zbMATH OpenOpenAlexFDO

Authors Roger Koenker, Stephen Portnoy

Publication date 25 June 1992

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2289602

zbMATH Keywords

asymptotic covariance matrixelliptically contoured distributionsleast absolute deviationseemingly unrelated regressionSUR estimatorweighted M-estimators

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

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Cited in

(60)

• A note on constrained M-estimation and its recursive analog in multivariate linear regression models
• On the MVUE for the distribution in the multivariate normal regression
• M-methods in multivariate linear models
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• Multivariate factorizable expectile regression with application to fMRI data
• The computation of test statistics for multivariate regression models in event studies
• Generalized and pseudo-generalized trimmed means for the linear regression with AR(1) error model
• \(M\)-estimation for location and regression parameters in group models: A case study using Stiefel manifolds
• On multivariate quantile regression
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• The multivariate Révész's online estimator of a regression function and its averaging
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• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• An integrated precision matrix estimation for multivariate regression problems
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• A multivariate Wilcoxon regression estimate
• M-Estimators in Regression Models
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• Robust Multivariate Regression When There is Heteroscedasticity
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• Studentized robust statistics in multivariate randomized block design
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• The emperor's new clothes: a critique of the multivariate t regression model
• Robust estimation of the SUR model
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• Fast optimization methods for high-dimensional row-sparse multivariate quantile linear regression
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• A General M-estimation Theory in Semi-Supervised Framework
• Optimal Poisson subsampling decorrelated score for high-dimensional generalized linear models
• Sparse estimation and inference for prediction-powered semi-supervised linear regression
• Mountain c-regressions method
• Two-stage Huber estimation
• Multivariate least-trimmed squares regression estimator
• Computation of Huber's \(M\)-estimates for a block-angular regression problem

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