کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1146602 957520 2011 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimates of MM type for the multivariate linear model
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Estimates of MM type for the multivariate linear model
چکیده انگلیسی

We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 102, Issue 9, October 2011, Pages 1280–1292
نویسندگان
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