A Robust Method for Multivariate Regression View Full Text


Ontology type: schema:Chapter     


Chapter Info

DATE

2000

AUTHORS

Stefan Van Aelst , Katrien Van Driessen , Peter J. Rousseeuw

ABSTRACT

We introduce a new method for multivariate regression based on robust estimation of the location and scatter matrix of the joint response and explanatory variables. The resulting method has good equivariance properties and the same breakdown value as the initial estimator for location and scatter. We also derive a general expression for the influence function at elliptical distributions. We compute asymptotic variances and compare them to finite-sample efficiencies obtained by simulation. More... »

PAGES

309-314

References to SciGraph publications

  • 1985. Multivariate Estimation with High Breakdown Point in MATHEMATICAL STATISTICS AND APPLICATIONS
  • Book

    TITLE

    Data Analysis, Classification, and Related Methods

    ISBN

    978-3-540-67521-1
    978-3-642-59789-3

    Author Affiliations

    Identifiers

    URI

    http://scigraph.springernature.com/pub.10.1007/978-3-642-59789-3_49

    DOI

    http://dx.doi.org/10.1007/978-3-642-59789-3_49

    DIMENSIONS

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