Title: Fast and robust bootstrap for LTS
Authors: Willems, G ×
Van Aelst, Stefan #
Issue Date: 2005
Series Title: COMPUTATIONAL STATISTICS & DATA ANALYSIS vol:48 issue:4 pages:703-715
Abstract: The Least Trimmed Squares (LTS) estimator is a frequently used robust estimator
of regression. When it comes to inference for the parameters of the regression model,
the asymptotic normality of the LTS estimator can be used. However, this is usually
not appropriate in situations where the use of robust estimators is recommended.
The bootstrap method constitutes an alternative, but has two major drawbacks.
First, since the LTS in itself is a computer-intensive estimator, the classical boot-
strap can be extremely time-consuming. And second, the breakdown point of the
procedure is lower than that of the estimator itself. To overcome these problems,
an alternative bootstrap method is proposed which is both computationally simple
and robust. In each bootstrap sample, instead of recalculating the LTS estimates,
an approximation is computed using information from the LTS solution in the orig-
inal sample. A simulation study shows that this method performs well, particularly
regarding confidence intervals for the regression parameters. An example is given
to illustrate the benefits of the method.
ISSN: 0167-9473
Publication status: published
KU Leuven publication type: IT
Appears in Collections:Non-KU Leuven Association publications
× corresponding author
# (joint) last author

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