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

DOI10.1214/009053606000000975zbMATH Open1114.62030arXiv0708.0390OpenAlexW3105783641MaRDI 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)

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.

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

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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)

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Cited In (12)

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

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