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On the optimality of S-estimators

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  • Hössjer, Ola

Abstract

The efficiency of an S-estimator in the linear model is maximized under a constraint on the breakdown point and the form of the optimal score function is derived. Numerical calculations for normally distributed errors are performed, and the maximal possible efficiency is then 0.33 when the breakdown point equals 0.5.

Suggested Citation

  • Hössjer, Ola, 1992. "On the optimality of S-estimators," Statistics & Probability Letters, Elsevier, vol. 14(5), pages 413-419, July.
    • Handle: RePEc:eee:stapro:v:14:y:1992:i:5:p:413-419
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    Cited by:

    1. Ben, Marta García & Martínez, Elena & Yohai, Víctor J., 2006. "Robust estimation for the multivariate linear model based on a [tau]-scale," Journal of Multivariate Analysis, Elsevier, vol. 97(7), pages 1600-1622, August.
    2. Smucler, Ezequiel & Yohai, Victor J., 2017. "Robust and sparse estimators for linear regression models," Computational Statistics & Data Analysis, Elsevier, vol. 111(C), pages 116-130.
    3. Marazzi, Alfio & Yohai, Victor J., 2006. "Robust Box-Cox transformations based on minimum residual autocorrelation," Computational Statistics & Data Analysis, Elsevier, vol. 50(10), pages 2752-2768, June.

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