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The multivariate least-trimmed squares estimator

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  • Agulló, Jose
  • Croux, Christophe
  • Van Aelst, Stefan

Abstract

In this paper we introduce the least-trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisher-consistency at the multivariate regression model with elliptically symmetric error distribution and derive the influence function. Simulations investigate the finite-sample efficiency and robustness of the estimator. To increase the efficiency of the estimator, we also consider a one-step reweighted estimator.

Suggested Citation

  • Agulló, Jose & Croux, Christophe & Van Aelst, Stefan, 2008. "The multivariate least-trimmed squares estimator," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 311-338, March.
    • Handle: RePEc:eee:jmvana:v:99:y:2008:i:3:p:311-338
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