Regularity and Uniqueness for Constrained M-Estimates and Redescending M-Estimates
نویسندگان
چکیده
منابع مشابه
On the Maximum Bias Functions of Mm-estimates and Constrained M-estimates of Regression
We derive the maximum bias functions of the MM -estimates and the constrained M -estimates or CM -estimates of regression and compare them to the maximum bias functions of the S -estimates and the τ -estimates of regression. In these comparisons, the CM -estimates tend to exhibit the most favorable bias-robustness properties. Also, under the Gaussian model, it is shown how one can construct a C...
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In finite sample studies redescending M -estimators outperform bounded M -estimators (see for example, Andrews et al., 1972). Even though redescenders arise naturally out of the maximum likelihood approach if one uses very heavy-tailed models, the commonly used redescenders have been derived from purely heuristic considerations. Using a recent approach proposed by Shurygin, we studied the optim...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2001
ISSN: 0090-5364
DOI: 10.1214/aos/996986508