The scale problem in robust regressionM- estimates

DOI10.1080/00949658608810889MaRDI QIDQ3783370zbMATH OpenOpenAlexFDO

Authors David M. Rocke, David F. Shanno

Publication date 1986

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949658608810889

zbMATH Keywords

residualsMonte Carlorobust estimationiteratively reweighted least squaresquasi-Newton methodsscale problemmedian absolute deviationWinsorized varianceHuber-Dutter algorithmbiweight estimateHuber's proposal 2 estimateRegression M-estimates

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Probabilistic methods, stochastic differential equations (65C99) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3382096 (Why is no real title available?)
• A Robust Method for Multiple Linear Regression
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• Nonorthogonal Analysis of Variance using a Generalized Conjugate-Gradient Algorithm
• Numerical methods for the nonlinear robust regression problem
• Numerical solution of robust regression problems: computational aspects, a comparison
• Robust Estimation of a Location Parameter
• Robust Statistics
• Robust regression using iteratively reweighted least-squares
• Robust regression: Asymptotics, conjectures and Monte Carlo
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data

Cited in

(11)

• Robust and efficient estimation of the residual scale in linear regression
• A Variant of Huber Robust Regression
• A reinvestigation of robust scale estimation in finite samples
• On the symmetry of m-estimators computed by the huber-dutter algorithm
• Regression-free and robust estimation of scale for bivariate data
• CONCOMITANT SCALE ESTIMATION IN REGRESSION PROBLEMS WITH INCREASING DIMENSION
• scientific article; zbMATH DE number 3885122 (Why is no real title available?)
• M-estimators for regression with changing scale
• De l'unicité des estimateurs robustes en régression lorsque le paramètre d'échelle et le paramètre de la régression sont estimés simultanément
• Scale calibration for high-dimensional robust regression
• Numerical Methods for Robust Regression: Linear Models

Describes a project that uses

Uses Software

• GQTPAR
• Algorithm 500

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