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Robust errors-in-variables linear regression via Laplace distribution

Author

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  • Shi, Jianhong
  • Chen, Kun
  • Song, Weixing

Abstract

Robust estimation procedures for linear and mixture linear errors-in-variables regression models are proposed based on the relationship between the least absolute deviation criterion and maximum likelihood estimation in a Laplace distribution. The finite sample performance of the proposed procedures is evaluated by simulation studies.

Suggested Citation

  • Shi, Jianhong & Chen, Kun & Song, Weixing, 2014. "Robust errors-in-variables linear regression via Laplace distribution," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 113-120.
    • Handle: RePEc:eee:stapro:v:84:y:2014:i:c:p:113-120
    DOI: 10.1016/j.spl.2013.09.036
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    References listed on IDEAS

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    1. Koenker,Roger, 2005. "Quantile Regression," Cambridge Books, Cambridge University Press, number 9780521845731.
    2. Bai, Xiuqin & Yao, Weixin & Boyer, John E., 2012. "Robust fitting of mixture regression models," Computational Statistics & Data Analysis, Elsevier, vol. 56(7), pages 2347-2359.
    3. Vilca-Labra, F. & Arellano-Valle, R. B. & Bolfarine, H., 1998. "Elliptical Functional Models," Journal of Multivariate Analysis, Elsevier, vol. 65(1), pages 36-57, April.
    4. Neykov, N. & Filzmoser, P. & Dimova, R. & Neytchev, P., 2007. "Robust fitting of mixtures using the trimmed likelihood estimator," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 299-308, September.
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