Abstract:
We show, using a Monte Carlo study, that MM-estimates with projection estimates as starting point of an iterative weighted least squares algorithm, behave more robustly than MM-estimates starting at an S-estimate and similar Gaussian efficiency. Moreover the former have a robustness behavior close to the P-estimates with an additional advantage: they are asymptotically normal making statistical inference possible.
Registro:
| Documento: |
Conferencia
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| Título: | The choice of the initial estimate for computing MM-estimates |
| Autor: | Svarc, M.; Yohai, V.J.; et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP) |
| Ciudad: | Porto |
| Filiación: | Departamento de Matemática y Ciencias, Universidad de San Andrés, Vito Dumas 284, 1644 Victoria, Pcia. de Buenos Aires, Argentina
Departamento de Matemática, Facultad de Ciencias Exactas y Naturales, Universidad de Buenos Aires, Ciudad Universitaria Pabellón 1, 1426 Buenos Aires, Argentina
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| Palabras clave: | P-estimates; Robust regression; S-estimates; Gaussians; Initial estimate; Iterative-weighted; P-estimates; Robust regressions; S-estimates; Statistical inference; Iterative methods |
| Año: | 2008
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| Página de inicio: | 503
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| Página de fin: | 515
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| Título revista: | 18th Symposium on Computational Statistics, COMPSTAT 2008
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| Título revista abreviado: | COMPSTAT - Proc. Comput. Stat., Symp.
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| Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_97837908_v_n_p503_Svarc |
Referencias:
- Davies, L., The asymptotics of S-estimators in the linear regression model (1990) The Annals of Statistics, 18, pp. 1651-1675
- Donoho, D.L., Huber, P.J., The notion of breakdown-point (1983) A Festschrift for Erich L. Lehmann, pp. 157-184. , P.J. Bickel, K.A. Doksum and J.L Hodges, Jr. (Eds.) Wadsworth, Belmont, California
- Hampel, F.R., A general qualitative definition of robustness (1971) The Annals of Mathematical Statistics, 42, pp. 1887-1896
- Hossjer, O., On the optimality of S-estimators (1992) Statistics & Probability Letters, 14, pp. 413-419
- Maronna, R.A., Yohai, V.J., Bias-robust estimates of regression based on projections (1993) The Annals of Statistics, 21, pp. 965-990
- Maronna, R.A., Martin, R.D., Yohai, V.J., (2006) Robust Statistics: Theory and Methods, , Wiley, Chichister
- Martin, R.D., Yohai, V.J., Zamar, R., Min-max bias robust regression (1989) The Annals of Statistics, 17, pp. 1608-1630
- Rousseeuw, P.J., Least median of squares regression (1984) J. Am. Stat. Assoc., 79, pp. 871-880
- Rousseeuw, P.J., Yohai, V.J., Robust regression by means of sestimators (1984) Robust and Nonlinear Time Series, Lecture Notes in Statistics, 26, pp. 256-272. , J. Franke, W. Hardle and R.D. Martin (Eds) Springer-Verlag, Berlin
- Salibian-Barrera, M., Yohai, V.J., A fast algorithm for sregression estimates (2006) Journal of Computational and Graphical Statistics, 15, pp. 414-427
- Yohai, V.J., High breakdown point and high efficiency robust estimates for regression (1987) The Annals of Statistics, 15, pp. 642-656A4 - et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP)
Citas:
---------- APA ----------
Svarc, M., Yohai, V.J. & et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP)
(2008)
. The choice of the initial estimate for computing MM-estimates. 18th Symposium on Computational Statistics, COMPSTAT 2008, 503-515.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_97837908_v_n_p503_Svarc [ ]
---------- CHICAGO ----------
Svarc, M., Yohai, V.J., et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP)
"The choice of the initial estimate for computing MM-estimates"
. 18th Symposium on Computational Statistics, COMPSTAT 2008
(2008) : 503-515.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_97837908_v_n_p503_Svarc [ ]
---------- MLA ----------
Svarc, M., Yohai, V.J., et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP)
"The choice of the initial estimate for computing MM-estimates"
. 18th Symposium on Computational Statistics, COMPSTAT 2008, 2008, pp. 503-515.
Recuperado de https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_97837908_v_n_p503_Svarc [ ]
---------- VANCOUVER ----------
Svarc, M., Yohai, V.J., et al.; Fundacao para a Ciencia e a Tecnologia (FCT); Instituto Nacional de Estatistica; PORTO Camara Municipal; PSE; Universidade do Porto - Faculdade de Engenharia (FEUP) The choice of the initial estimate for computing MM-estimates. COMPSTAT - Proc. Comput. Stat., Symp. 2008:503-515.
Available from: https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_97837908_v_n_p503_Svarc [ ]
