Estimates of MM type for the multivariate linear model

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We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic effic...

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Autores principales: Kudraszow, Nadia Laura, Maronna, Ricardo Antonio
Formato: Articulo
Lenguaje:Inglés
Publicado: 2011
Materias:
Matemática
Ciencias Exactas
MM-estimate
Multivariate linear model
Robust methods
Métodos robustos
MM-estimador
Modelo linealmultivariado
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/84656
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
id I19-R120-10915-84656
record_format dspace
institution Universidad Nacional de La Plata
institution_str I-19
repository_str R-120
collection SEDICI (UNLP)
language Inglés
topic Matemática
Ciencias Exactas
MM-estimate
Multivariate linear model
Robust methods
Métodos robustos
MM-estimador
Modelo linealmultivariado
spellingShingle Matemática
Ciencias Exactas
MM-estimate
Multivariate linear model
Robust methods
Métodos robustos
MM-estimador
Modelo linealmultivariado
Kudraszow, Nadia Laura
Maronna, Ricardo Antonio
Estimates of MM type for the multivariate linear model
topic_facet Matemática
Ciencias Exactas
MM-estimate
Multivariate linear model
Robust methods
Métodos robustos
MM-estimador
Modelo linealmultivariado
description We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data.
format Articulo
Articulo
author Kudraszow, Nadia Laura
Maronna, Ricardo Antonio
author_facet Kudraszow, Nadia Laura
Maronna, Ricardo Antonio
author_sort Kudraszow, Nadia Laura
title Estimates of MM type for the multivariate linear model
title_short Estimates of MM type for the multivariate linear model
title_full Estimates of MM type for the multivariate linear model
title_fullStr Estimates of MM type for the multivariate linear model
title_full_unstemmed Estimates of MM type for the multivariate linear model
title_sort estimates of mm type for the multivariate linear model
publishDate 2011
url http://sedici.unlp.edu.ar/handle/10915/84656
work_keys_str_mv AT kudraszownadialaura estimatesofmmtypeforthemultivariatelinearmodel
AT maronnaricardoantonio estimatesofmmtypeforthemultivariatelinearmodel
bdutipo_str Repositorios
_version_ 1764820489071493121

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