The scale problem in robust regressionM- estimates

DOI10.1080/00949658608810889zbMath0642.62020OpenAlexW1999080624MaRDI QIDQ3783370

David M. Rocke, David F. Shanno

Publication date: 1986

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949658608810889

zbMATH Keywords

Monte Carloquasi-Newton methodsrobust estimationresidualsiteratively reweighted least squaresscale problemmedian absolute deviationWinsorized varianceHuber-Dutter algorithmbiweight estimateHuber's proposal 2 estimateRegression M-estimates

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35) Probabilistic methods, stochastic differential equations (65C99)

Related Items (2)

On the symmetry of m-estimators computed by the huber-dutter algorithm ⋮ De l'unicité des estimateurs robustes en régression lorsque le paramètre d'échelle et le paramètre de la régression sont estimés simultanément

Uses Software

• Algorithm 500
• GQTPAR

Cites Work

• Unnamed Item
• Robust regression: Asymptotics, conjectures and Monte Carlo
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• Numerical methods for the nonlinear robust regression problem
• Nonorthogonal Analysis of Variance using a Generalized Conjugate-Gradient Algorithm
• A Robust Method for Multiple Linear Regression
• Numerical solution of robust regression problems: computational aspects, a comparison
• Robust regression using iteratively reweighted least-squares
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• Robust Estimation of a Location Parameter
• Robust Statistics

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