The multivariate least-trimmed squares estimator
نویسندگان
چکیده
منابع مشابه
The Multivariate Least Trimmed Squares Estimator
In this paper we introduce the least trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisherconsistency at the multivariate regression model with elliptically symmetric error distribution and derive the influence function. Simulations investigat...
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A robust procedure is proposed, starting from least trimmed squares as the initial estimator. The asymptotic distribution of the two-step and multi-step estimators is derived. This allows the use with a pre-specified efficiency under normality. It is argued that the good performance, together with the simplicity of the procedure, should make this the robust estimator of choice for applied work.
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where X = (X1, ...,X„)' is the vector of independent observations, C is the n x p design matrix, /} = (ftu ...,PP)' is the vector of unknown parameters and £ = = ( £ ] , . . . , E„)' where Eu ..., E„ are independent and identically distributed (i.i.d.) random variables with a continuous distribution function (d.f.) F. Our main interest is in robust estimating the parameter /?. For the location ...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2008
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2006.06.005