Robust regression through robust covariances |
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Authors: | Ricardo Maronna Stephan Morgenthaler |
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Institution: | 1. C.I.C.P.B.A. Universidad Nacional de La Plata , La Plata, Argentina;2. Dept. of Statistics , Yale University , 2179 - Yale Station, New Haven, CT, 06520 |
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Abstract: | This paper discusses the estimation of regression parameters after summarizing the data by a covariance matrix of the concatenated vector of explanatory variables and response variable. A robust estimate of the covariance matrix leads to a robust regression estimator. An M-estimator at the covariance estimation step is studied in the paper, and the resulting regression estimator is compared to a few previously proposed robust regression estimators. |
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Keywords: | bounded influence asymptotics simulation |
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