Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1146226 | Journal of Multivariate Analysis | 2013 | 19 Pages |
Abstract
Robustness and efficiency of the residual scale estimators in the regression model is important for robust inference. We introduce the class of robust generalized M-scale estimators for the regression model, derive their influence function and gross-error sensitivity, and study their maxbias behavior. In particular, we find overall minimax bias estimates for the general class and also for well-known subclasses. We pose and solve a Hampel’s-like optimality problem: we find generalized M-scale estimators with maximal efficiency subject to a lower bound on the global and local robustness of the estimators.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Stefan Van Aelst, Gert Willems, Ruben H. Zamar,