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The maximum asymptotic bias of S-estimates for regression over the neighborhoods defined by certain special capacities

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  • Ando, Masakazu
  • Kimura, Miyoshi

Abstract

The maximum asymptotic bias of an S-estimate for regression in the linear model is evaluated over the neighborhoods (called (c,[gamma])-neighborhoods) defined by certain special capacities, and its lower and upper bounds are derived. As special cases, the (c,[gamma])-neighborhoods include those in terms of [var epsilon]-contamination, total variation distance and Rieder's ([var epsilon],[delta])-contamination. It is shown that when the model distribution is normal and the ([var epsilon],[delta])-contamination neighborhood is adopted, the lower and upper bounds of an S-estimate (including the LMS-estimate) based on a jump function coincide with the maximum asymptotic bias. The tables of the maximum asymptotic bias of the LMS-estimate are given. These results are an extension of the corresponding ones due to Martin et al. (Ann. Statist. 17 (1989) 1608), who used [var epsilon]-contamination neighborhoods.

Suggested Citation

  • Ando, Masakazu & Kimura, Miyoshi, 2004. "The maximum asymptotic bias of S-estimates for regression over the neighborhoods defined by certain special capacities," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 407-425, August.
    • Handle: RePEc:eee:jmvana:v:90:y:2004:i:2:p:407-425
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    References listed on IDEAS

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    1. He, Xuming, 1991. "A local breakdown property of robust tests in linear regression," Journal of Multivariate Analysis, Elsevier, vol. 38(2), pages 294-305, August.
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