Infoscience

Journal 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.

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