Estimators of the multiple correlation coefficient: Local robustness and confidence intervals |
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Authors: | Cristophe Croux Catherine Dehon |
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Institution: | (1) ECARES, Faculté SOCO, and Institut de Statistique, Université Libre de Bruxelles, CP-114, Av. F.D. Roosevelt 50, 1050 Brussels, Belgium |
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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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Keywords: | Influence function Multiple correlation coefficient Regression analysis R 2-measure Robustness |
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