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Bounded influence regression using high breakdown scatter matrices

  • Estimation
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Abstract

In this paper we estimate the parameters of a regression model using S-estimators of multivariate location and scatter. The approach is proven to be Fisher-consistent, and the influence functions are derived. The corresponding asymptotic variances are obtained and it is shown how they can be estimated in practice. A comparison with other recently proposed robust regression estimators is made.

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Authors and Affiliations

  1. Department of Applied Economics, KULeuven, Naamsestraat 69, B-3000, Leuven, Belgium

    Christophe Croux

  2. Department of Applied Mathematics and Computer Science, Ghent University, Krijgslaan 281 S9, B-9000, Gent, Belgium

    Stefan Van Aelst

  3. ECARES, Université Libre de Bruxelles, Av. F. D. Roosevelt 50, CP-139, B-1050, Brussels, Belgium

    Catherine Dehon

Authors
  1. Christophe Croux
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  2. Stefan Van Aelst
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  3. Catherine Dehon
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Croux, C., Van Aelst, S. & Dehon, C. Bounded influence regression using high breakdown scatter matrices. Ann Inst Stat Math 55, 265–285 (2003). https://doi.org/10.1007/BF02530499

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  • DOI: https://doi.org/10.1007/BF02530499

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