M-estimators for isotonic regression |
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Authors: | Enrique E Álvarez Víctor J Yohai |
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Institution: | 1. University of La Plata and CONICET, Argentina;2. University of Buenos Aires and CONICET, Argentina |
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Abstract: | In this paper we propose a family of robust estimates for isotonic regression: isotonic M-estimators. We show that their asymptotic distribution is, up to an scalar factor, the same as that of Brunk's classical isotonic estimator. We also derive the influence function and the breakdown point of these estimates. Finally we perform a Monte Carlo study that shows that the proposed family includes estimators that are simultaneously highly efficient under Gaussian errors and highly robust when the error distribution has heavy tails. |
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Keywords: | Isotonic regression M-estimators Robust estimates |
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