M-estimators for isotonic regression
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Abstract: In this paper we propose a family of robust estimates for isotonic regression: isotonic M-estimators. We show that their asymptotic distribution is, up to an scalar factor, the same as that of Brunk's classical isotonic estimator. We also derive the influence function and the breakdown point of these estimates. Finally we perform a Monte Carlo study that shows that the proposed family includes estimators that are simultaneously highly efficient under gaussian errors and highly robust when the error distribution has heavy tails.
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Cited in
(20)- Small sample properties of isotonic estimators - bias and mean squared error of linear combinations under normality
- Trimmed mean isotonic regression
- Robust estimation in partially linear regression models with monotonicity constraints
- New designs to consistently estimate the isotonic regression
- Double penalized semi-parametric signed-rank regression with adaptive LASSO
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- scientific article; zbMATH DE number 4166377 (Why is no real title available?)
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