Estimates of MM type for the multivariate linear model

JOURNAL OF MULTIVARIATE ANALYSIS

卷:102

Article

Kudraszow, Nadia L.¹  Maronna, Ricardo A.² 

[1] Univ La Plata, CONICET, La Plata, Buenos Aires, Argentina

[2] Univ La Plata, CICPBA, La Plata, Buenos Aires, Argentina

关键词: Robust methods;    MM-estimate;    Multivariate linear model;   

DOI  :  10.1016/j.jmva.2011.04.011

来源: Elsevier

【 摘 要 】

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. (C) 2011 Elsevier Inc. All rights reserved.

【 授权许可】

Free