ITEM METADATA RECORD
Title: Robust and efficient estimation of the residual scale in linear regression
Authors: Van Aelst, Stefan ×
Zamar, Ruben H #
Issue Date: 2013
Publisher: ELSEVIER INC
Series Title: JOURNAL OF MULTIVARIATE ANALYSIS vol:116 pages:278-296
Abstract: Robustness and eciency of the residual scale estimators in the regression model
is important for robust inference. We introduce the class of robust
generalized
M-scale estimators
for the regression model, derive their in uence function and
gross-error sensitivity, and study their maxbias behavior. In particular, we nd
overall minimax bias estimates for the general class and also for well-known
subclasses. We pose and solve a Hampel's-like optimality problem: we nd
generalized M-scale estimators with maximal eciency subject to a lower bound
on the
global
and
local
robustness of the estimators.
ISSN: 0047-259X
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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