Robust m-estimators

DOI10.1080/07474939008800174zbMATH Open0718.62073OpenAlexW2068680587MaRDI QIDQ5750141FDOQ5750141

Franco Peracchi

Publication date: 1990

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939008800174

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zbMATH Keywords

robust estimationinfluence functionM-estimatorsbounded influence function

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Approximation Theorems of Mathematical Statistics
• Multivariate regression models for panel data
• Pseudo Maximum Likelihood Methods: Theory
• Title not available (Why is that?)
• Robust Estimation of a Location Parameter
• Robust Statistics
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Semiparametric efficiency bounds
• Specification Tests in Econometrics
• A General Qualitative Definition of Robustness
• High breakdown-point and high efficiency robust estimates for regression
• The Influence Curve and Its Role in Robust Estimation
• Influence functionals for time series (with discussion)
• Robust regression based on infinitesimal neighbourhoods
• Title not available (Why is that?)
• Infinitesimal robustness for autoregressive processes
• Title not available (Why is that?)
• Robust location estimates
• Title not available (Why is that?)
• The Change-of-Variance Curve and Optimal Redescending M-Estimators
• General m-esttmators and applications to bounded influence estimation for non-linear regression
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• Efficient Bounded-Influence Regression Estimation
• Estimation in Linear Regression Models with Disparate Data Points
• Change-of-variance sensitivities in regression analysis
• Masking unmasked

Cited In (19)

• An information-theoretic framework for robustness
• Robust M-estimators in diffusion processes
• The Consistency and Robustness of Modified Cramér–Von Mises and Kolmogorov–Cramér Estimators
• Properties of robust m-estimators for poisson and negative binomial data^∗
• Robust inference with GMM estimators
• A Note on the Uniqueness of M-Estimators in Robust Regression
• Robustness and Tractability for Non-convex M-estimators
• Robust efficient method of moments estimation
• INDUCED CORES AND THEIR USE IN ROBUST PARAMETRIC ESTIMATION
• Title not available (Why is that?)
• Robust estimation in the logistic regression model
• Influence for empirical transforms
• A note on james type robust estimators
• An evaluation of the huber estimator
• A Robust and Almost Fully Efficient M-Estimator
• Robust prediction limits based on \(\mathbf M\)-estimators
• Robustness of confidence intervals for scale parameters based on m-estimators
• A comparison of robust versions of the AIC based on M-, S- and MM-estimators
• Robust estimation through estimating equations

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