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.
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Croux, C., Dehon, C. Estimators of the multiple correlation coefficient: Local robustness and confidence intervals. Statistical Papers 44, 315–334 (2003). https://doi.org/10.1007/s00362-003-0158-7
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DOI: https://doi.org/10.1007/s00362-003-0158-7