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.


Published in:
Communications in Statistics. A. Theory and Methods, 15, 4, 1347-1365
Year:
1986
Keywords:
Laboratories:




 Record created 2006-04-04, last modified 2018-01-27


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