کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1147104 957550 2009 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Multivariate generalized S-estimators
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آنالیز عددی
پیش نمایش صفحه اول مقاله
Multivariate generalized S-estimators
چکیده انگلیسی

In this paper we introduce generalized S-estimators for the multivariate regression model. This class of estimators combines high robustness and high efficiency. They are defined by minimizing the determinant of a robust estimator of the scatter matrix of differences of residuals. In the special case of a multivariate location model, the generalized S-estimator has the important independence property, and can be used for high breakdown estimation in independent component analysis. Robustness properties of the estimators are investigated by deriving their breakdown point and the influence function. We also study the efficiency of the estimators, both asymptotically and at finite samples. To obtain inference for the regression parameters, we discuss the fast and robust bootstrap for multivariate generalized S-estimators. The method is illustrated on a real data example.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Multivariate Analysis - Volume 100, Issue 5, May 2009, Pages 876–887
نویسندگان
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