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Robust linear regression via bounded influence M-estimators

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  • Cheng, Chi-Lun

Abstract

We investigate optimal bounded influence M-estimators in the general normal regression model with respect to different sensitivities. As a result, we answer some open questions in F. R. Hampel et al. (Robust Statistics, Chap. 6, Wiley, New York). Moreover, we examine the relationship among different sensitives and their associated optimal estimators and extend the idea of change- of -variance sensitivity to the case of the predicted value.

Suggested Citation

  • Cheng, Chi-Lun, 1992. "Robust linear regression via bounded influence M-estimators," Journal of Multivariate Analysis, Elsevier, vol. 40(1), pages 158-171, January.
    • Handle: RePEc:eee:jmvana:v:40:y:1992:i:1:p:158-171
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