Abstract:
This paper introduces a new class of robust estimators for the linear regression model. They are weighted least squares estimators, with weights adaptively computed using the empirical distribution of the residuals of an initial robust estimator. It is shown that under certain general conditions the asymptotic breakdown points of the proposed estimators are not less than that of the initial estimator, and the finite sample breakdown point can be at most 1/n less. For the special case of the least median of squares as initial estimator, hard rejection weights and normal errors and carriers, the maximum bias function of the proposed estimators for point-mass contaminations is numerically computed, with the result that there is almost no worsening of bias. Moreover - and this is the original contribution of this paper - if the errors are normally distributed and under fairly general conditions on the design the proposed estimators have full asymptotic efficiency. A Monte Carlo study shows that they have better behavior than the initial estimators for finite sample sizes.
Registro:
Documento: |
Artículo
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Título: | A class of robust and fully efficient regression estimators |
Autor: | Gervini, D.; Yohai, V.J. |
Filiación: | Department of Biostatistics, University of Zurich, Sumatrastrasse 30, CH-8006 Zurich, Switzerland Departamento de Matemática, Fac. de Ciencias Exactas y Naturales, Pabellón 1, 1428 Buenos Aires, Argentina
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Palabras clave: | Adaptive estimation; Efficient estimation; Maximum breakdown point; Weighted least squares |
Año: | 2002
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Volumen: | 30
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Número: | 2
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Página de inicio: | 583
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Página de fin: | 616
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DOI: |
http://dx.doi.org/10.1214/aos/1021379866 |
Título revista: | Annals of Statistics
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Título revista abreviado: | Ann. Stat.
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ISSN: | 00905364
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Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_00905364_v30_n2_p583_Gervini |
Referencias:
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Citas:
---------- APA ----------
Gervini, D. & Yohai, V.J.
(2002)
. A class of robust and fully efficient regression estimators. Annals of Statistics, 30(2), 583-616.
http://dx.doi.org/10.1214/aos/1021379866---------- CHICAGO ----------
Gervini, D., Yohai, V.J.
"A class of robust and fully efficient regression estimators"
. Annals of Statistics 30, no. 2
(2002) : 583-616.
http://dx.doi.org/10.1214/aos/1021379866---------- MLA ----------
Gervini, D., Yohai, V.J.
"A class of robust and fully efficient regression estimators"
. Annals of Statistics, vol. 30, no. 2, 2002, pp. 583-616.
http://dx.doi.org/10.1214/aos/1021379866---------- VANCOUVER ----------
Gervini, D., Yohai, V.J. A class of robust and fully efficient regression estimators. Ann. Stat. 2002;30(2):583-616.
http://dx.doi.org/10.1214/aos/1021379866