Abstract
In this chapter, we propose a simple iterative algorithm for computing R-estimates of the parameters of the linear regression models. The algorithm can be applied routinely to compute R-estimates based on any score function. We apply this to some well-known datasets and can identify outliers which would not have been detected using least squares.
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Acknowledgement
Kanchan Mukherjee would like to thank Prof. Koul for introducing him to the fascinating area of R-estimation and for his encouragement.
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Mukherjee, K., Wang, Y. (2014). On the Computation of R-Estimators. In: Lahiri, S., Schick, A., SenGupta, A., Sriram, T. (eds) Contemporary Developments in Statistical Theory. Springer Proceedings in Mathematics & Statistics, vol 68. Springer, Cham. https://doi.org/10.1007/978-3-319-02651-0_17
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DOI: https://doi.org/10.1007/978-3-319-02651-0_17
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