A Monte Carlo comparison of several high breakdown and efficient estimators

DOI10.1016/S0167-9473(98)00087-5MaRDI QIDQ1606483zbMATH OpenWikidataFDO

Authors Jiazhong You

Publication date 29 July 2002

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-9473(98)00087-5

zbMATH Keywords

High breakdown point estimatorsMonte Carlo simulationsOutliers

Mathematics Subject Classification ID

General considerations in statistical decision theory (62C05) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

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Cites work

• A Bounded Influence, High Breakdown, Efficient Regression Estimator
• A comparative study of some robust methods for coefficient-estimation in linear regression
• A note on efficient regression estimators with positive breakdown point
• A note on high-breakdown estimators
• A Robust Version of the Probability Ratio Test
• Approaches to robust estimation in the simplest variance components model
• Asymptotic Theory of Least Absolute Error Regression
• Cube root asymptotics
• Effect of leverage on the finite sample efficiencies of high breakdown estimators
• Efficiency of MM- and -estimates for finite sample size
• Efficient Bounded-Influence Regression Estimation
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• High breakdown-point and high efficiency robust estimates for regression
• scientific article; zbMATH DE number 420867 (Why is no real title available?)
• scientific article; zbMATH DE number 3829050 (Why is no real title available?)
• scientific article; zbMATH DE number 3905646 (Why is no real title available?)
• scientific article; zbMATH DE number 3986407 (Why is no real title available?)
• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• Least Median of Squares Regression
• On One-Step GM Estimates and Stability of Inferences in Linear Regression
• Robust Statistics
• The Influence Curve and Its Role in Robust Estimation
• Time- and Space-Efficient Algorithms for Least Median of Squares Regression

Cited in

(3)

• Robust regression with high coverage.
• Generalized S-Estimators
• Robust linear regression: A review and comparison

Describes a project that uses

Uses Software

• ROBETH
• Algorithm 478

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