A comparison between two robust regression estimators by means of robust covariances

DOI10.1007/S11766-998-0042-2MaRDI QIDQ1129815zbMATH OpenOpenAlexFDO

Authors Jiang Hong Ma, Guangsheng Wei, Kanmin Wang

Publication date 3 February 1999

Published in Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11766-998-0042-2

zbMATH Keywords

Mallows' GM-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05)

Review text

The stochastic linear regression model we consider is \(y_i= X_i^T\beta+ \varepsilon_i\), \(i=1,2,\dots, n\), where \((X_i,y_i)\), \(i=1,2,\dots, n\), is a sequence of i.i.d. random \(p\times 1\) vectors with a distribution \(F\). \(\varepsilon_i\) is independent of \(X_i\) for each \(i=1,2,\dots, n\), and the \(\varepsilon_i\)'s are i.i.d. errors with zero mean and variance \(\sigma^2\). Two classes of Mallows' GM-estimators with invariance are considered. Some of their asymptotic properties are described, and the fitted-value influence and variance components are compared by means of robust covariances.

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Cites work

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• Robust sandwich covariance estimation for regression calibration estimator in Cox regression with measurement error.
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