Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149545 | Journal of Statistical Planning and Inference | 2012 | 18 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Enrique E. Álvarez, Víctor J. Yohai,