On consistency factors and efficiency of robust \(S\)-estimators

DOI10.1007/s11749-014-0357-7zbMath1308.62106MaRDI QIDQ2513931

Andrea Cerioli, Marco Riani, Francesca Torti

Publication date: 29 January 2015

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11749-014-0357-7

zbMATH Keywords

asymptotic variance; robust regression; breakdown point; Mahalanobis distance; biweight function; elliptical truncation

Mathematics Subject Classification ID

62G35: Nonparametric robustness

62J05: Linear regression; mixed models

62E15: Exact distribution theory in statistics

62E17: Approximations to statistical distributions (nonasymptotic)

Related Items

Outlier-free merging of homogeneous groups of pre-classified observations under contamination, The minimum weighted covariance determinant estimator revisited, Discussion of ``The power of monitoring: how to make the most of a contaminated multivariate sample, Reliable Robust Regression Diagnostics, An impartial trimming algorithm for robust circle fitting, S-estimation of hidden Markov models, Robust Bayesian regression with the forward search: theory and data analysis, The power of monitoring: how to make the most of a contaminated multivariate sample, Strong consistency and robustness of the forward search estimator of multivariate location and scatter, Monitoring robust regression, Discussion of ‘Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models’ by Johansen and Nielsen, Introducing Prior Information into the Forward Search for Regression, How to Marry Robustness and Applied Statistics, Covariance matrices of S robust regression estimators

Uses Software

• robustbase
• FSDA
• rrcov

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Reweighted least trimmed squares: an alternative to one-step estimators
• High breakdown-point and high efficiency robust estimates for regression
• High-breakdown robust multivariate methods
• On the relation between S-estimators and M-estimators of multivariate location and covariance
• A general trimming approach to robust cluster analysis
• Trimming and likelihood: Robust location and dispersion estimation in the elliptical model
• Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
• Redescending \(M\)-estimates of multivariate location and scatter
• On the optimality of S-estimators
• Optimal locally robust M-estimates of regression
• Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
• Robust diagnostic regression analysis
• Robustness properties of \(S\)-estimators of multivariate location and shape in high dimension
• Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
• Robust M-estimation of multivariate GARCH models
• Monitoring robust regression
• Testing the information matrix equality with robust estimators
• The asymptotics of S-estimators in the linear regression model
• On the Optimality of Multivariate S-Estimators
• Finding an Unknown Number of Multivariate Outliers
• Robust and Efficient One-Way MANOVA Tests
• Robustness and efficiency properties of scatter matrices
• Moments and cumulants of the multivariate normal distribution
• Multivariate Outlier Detection With High-Breakdown Estimators
• Elliptical and Radial Truncation in Normal Populations
• Generalized Radius Processes for Elliptically Contoured Distributions
• Principal Components Analysis Based on Multivariate MM Estimators With Fast and Robust Bootstrap