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research article
Robust regression through robust covariances
This paper discusses the estimation of regression parameters after summarizing the data by a covariance matrix of the concatenated vector of explanatory variables and response variable. A robust estimate of the covariance matrix leads to a robust regression estimator. An M-estimator at the covariance estimation step is studied in the paper, and the resulting regression estimator is compared to a few previously proposed robust regression estimators.
Type
research article
Authors
Publication date
1986
Volume
15
Issue
4
Start page
1347
End page
1365
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
April 4, 2006
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