Confidence intervals based on robust regression

DOI10.1016/S0378-3758(02)00168-4MaRDI QIDQ1399271zbMATHFDO

Authors D. Massart

Publication date 30 July 2003

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

bootstrapM-estimatorscorrelated errorschange of variance functionrobust confidence intervals

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Parametric tolerance and confidence regions (62F25) Nonparametric tolerance and confidence regions (62G15) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3141625 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Edgeworth correction by bootstrap in autoregressions
• One‐step M‐estimators in the linear model, with dependent errors
• Robust Statistics
• Robust regression: Asymptotics, conjectures and Monte Carlo
• VARIANCE ESTIMATION FOR QUADRATIC STATISTICS
• Weighted Empirical Adaptive Variance Estimators for Correlated Data Regression

Cited in

(10)

• Equivalent sample sizes in time series regressions
• Estimators of the multiple correlation coefficient: local robustness and confidence intervals
• Some improvements in confidence intervals for standardized regression coefficients
• New robust confidence intervals for the mean under dependence
• scientific article; zbMATH DE number 3911481 (Why is no real title available?)
• Globally robust confidence intervals for simple linear regression
• scientific article; zbMATH DE number 4068073 (Why is no real title available?)
• Robust confidence interval for a residual standard deviation
• Confidence intervals in regressions with estimated factors and idiosyncratic components
• Confidence interval for residual mean absolute deviation in regression models

Describes a project that uses

Uses Software

• boot

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