We propose a one-step estimator for the vector of regression and error-scale parameters in a linear regression model. The estimator is asymptotically normal and fully efficient. Given appropriate initial values it achieves very low bias and high breakdown point.
A one-step robust estimator for regression based on the weighted likelihood reweighting scheme / Agostinelli, Claudio; Markatou, Marianthi. - In: STATISTICS & PROBABILITY LETTERS. - ISSN 0167-7152. - STAMPA. - 37:(1998), pp. 341-350. [10.1016/S0167-7152(97)00136-3]
A one-step robust estimator for regression based on the weighted likelihood reweighting scheme
Agostinelli, Claudio;
1998-01-01
Abstract
We propose a one-step estimator for the vector of regression and error-scale parameters in a linear regression model. The estimator is asymptotically normal and fully efficient. Given appropriate initial values it achieves very low bias and high breakdown point.File in questo prodotto:
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