A comparative study of some robust methods for coefficient-estimation in linear regression

被引:4
作者
Meintanis, SG [1 ]
Donatos, GS [1 ]
机构
[1] UNIV ATHENS,DEPT ECON,ATHENS,GREECE
关键词
simulation; outliers; heavy-tailed distributions; least median of squares; functional least squares; trimmed least squares;
D O I
10.1016/S0167-9473(96)00046-1
中图分类号
TP39 [计算机的应用];
学科分类号
081203 ; 0835 ;
摘要
Robust regression estimators are known to perform well in the presence of outliers. Although theoretical properties of these estimators have been derived, there is always a need for empirical results to assist their implementation in practical situations. A simulation study of four robust alternatives to the least-squares method is presented within a set of error-distributions which includes many outlier-generating models. The robustness and efficiency features of the methods are exhibited, some finite-sample results are discussed in combination with asymptotic properties, and the relative merits of the estimators are viewed in connection with the tail-length of the underlying error-distribution.
引用
收藏
页码:525 / 540
页数:16
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