M Estimation of Multivariate Regressions

DOI10.2307/2289602zbMath0743.62056OpenAlexW4240576054MaRDI QIDQ3971654

Roger W. Koenker, Stephen L. Portnoy

Publication date: 25 June 1992

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2289602

zbMATH Keywords

least absolute deviationasymptotic covariance matrixseemingly unrelated regressionelliptically contoured distributionsSUR estimatorweighted M-estimators

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

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