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Statistical Papers

, Volume 44, Issue 3, pp 315–334 | Cite as

Estimators of the multiple correlation coefficient: Local robustness and confidence intervals

  • Cristophe Croux
  • Catherine Dehon
Articles

Abstract

Many robust regression estimators are defined by minimizing a measure of spread of the residuals. An accompanying R 2-measure, or multiple correlation coefficient, is then easily obtained. In this paper, local robustness properties of these robust R 2-coefficients are investigated. It is also shown how confidence intervals for the population multiple correlation coefficient can be constructed in the case of multivariate normality.

Key words

Influence function Multiple correlation coefficient Regression analysis R2-measure Robustness 

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Copyright information

© Springer-Verlag 2003

Authors and Affiliations

  • Cristophe Croux
    • 1
  • Catherine Dehon
    • 1
  1. 1.ECARES, Faculté SOCO, and Institut de StatistiqueUniversité Libre de BruxellesBrusselsBelgium

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