On the optimality of S-estimators

DOI10.1016/0167-7152(92)90103-CMaRDI QIDQ1195586zbMATH OpenOpenAlexFDO

Authors Ola G. Hössjer

Publication date 14 December 1992

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(92)90103-c

zbMATH Keywords

asymptotic efficiencybreakdown pointefficiencylinear modelnormally distributed errorsoptimal score functionoptimality of \(S\)- estimatorsrobust linear regression

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

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Cites work

• A General Qualitative Definition of Robustness
• A Geometric Interpretation of Inferences Based on Ranks in the Linear Model
• An Analogue, for Signed Rank Statistics, of Jureckova's Asymptotic Linearity Theorem for Rank Statistics
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Asymptotics for one-step m-estimators in regression with application to combining efficiency and high breakdown point
• Breakdown points of affine equivariant estimators of multivariate location and covariance matrices
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• High breakdown-point and high efficiency robust estimates for regression
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
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• Least Median of Squares Regression
• Nonparametric Estimate of Regression Coefficients
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• Robust regression using repeated medians
• Robust regression: Asymptotics, conjectures and Monte Carlo
• The asymptotics of S-estimators in the linear regression model

Cited in

(32)

• On a fundamental optimality of the maximum likelihood estimator
• Desirable properties, breakdown and efficiency in the linear regression model
• Efficient high-breakdown M-estimators of scale
• Robust boosting for regression problems
• Optimal, robust R-estimators and test statistics in the linear model
• Local and global robustness of regression estimators
• Robust estimation in simultaneous equations models
• Strong convergence rate of the least median absolute estimator in linear regression models
• On the global robustness of generalized S-estimators
• Robust and sparse estimators for linear regression models
• Robust estimation for vector autoregressive models
• Maximum bias curves for robust regression with non-elliptical regressors
• A class of robust and fully efficient regression estimators
• The maximum asymptotic bias of S-estimates for regression over the neighborhoods defined by certain special capacities
• \(S\)-estimates
• On optimal estimates of random variables
• High breakdown point robust regression with censored data
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• On consistency factors and efficiency of robust S-estimators
• On the existence of efficient estimators
• Robust location estimation with missing data
• On the optimality of multivariate S-estimators
• Robust estimates for arch processes
• Semiparametrically weighted robust estimation of regression models
• Quantile estimation for a selected normal population
• scientific article; zbMATH DE number 806890 (Why is no real title available?)
• Robust loss reserving in a log-linear model
• Optimal estimation under nonstandard conditions
• High breakdown estimators for principal components: the projection-pursuit approach revis\-ited
• Robust variable selection and estimation via adaptive elastic net S-estimators for linear regression
• Robust-efficient fitting of mixed linear models: methodology and theory
• Robust Box-Cox transformations based on minimum residual autocorrelation

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