On the maximum bias functions of MM-estimates and constrained M-estimates of regression

DOI10.1214/009053606000000975zbMATH Open1114.62030OpenAlexW3105783641MaRDI QIDQ997368FDOQ997368

Authors José R. Berrendero, David E. Tyler, Beatriz Vaz de Melo Mendes

Publication date 23 July 2007

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0708.0390

zbMATH Keywords

robust regressionbreakdown pointM-estimatesS-estimatesconstrained M-estimatesgross error sensitivitymaximum bias curvesmethod of moments estimates

Mathematics Subject Classification ID

Point estimation (62F10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Abstract: We derive the maximum bias functions of the MM-estimates and the constrained M-estimates or CM-estimates of regression and compare them to the maximum bias functions of the S-estimates and the $au$-estimates of regression. In these comparisons, the CM-estimates tend to exhibit the most favorable bias-robustness properties. Also, under the Gaussian model, it is shown how one can construct a CM-estimate which has a smaller maximum bias function than a given S-estimate, that is, the resulting CM-estimate dominates the S-estimate in terms of maxbias and, at the same time, is considerably more efficient.

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• A local breakdown property of robust tests in linear regression
• A minimax-bias property of the least \(\alpha\)-quantile estimates
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• High breakdown-point and high efficiency robust estimates for regression
• Least Median of Squares Regression
• Lower bounds for contamination bias: Globally minimax versus locally linear estimation
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• Min-max bias robust regression
• Optimal locally robust M-estimates of regression

Cited in

(12)

• Parameter estimation of autoregressive models using the iteratively robust filtered fast-\(\tau\) method
• Robust tests for linear regression models based on \(\tau\)-estimates
• Robust and efficient estimation of the residual scale in linear regression
• Robust inference for seemingly unrelated regression models
• Maximum bias curves for robust regression with non-elliptical regressors
• Efficient Robust Regression via Two-Stage Generalized Empirical Likelihood
• An analysis of David E. Tyler's publication and coauthor network
• The maximum asymptotic bias of S-estimates for regression over the neighborhoods defined by certain special capacities
• Algorithms to compute \(CM\)- and \(S\)-estimates for regression
• A parametric framework for the comparison of methods of very robust regression
• Sharpening Wald-type inference in robust regression for small samples
• Estimates of MM type for the multivariate linear model

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