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Change-of-variance sensitivities in regression analysis

Rousseeuw, Peter J.
Published in Probability Theory and Related Fields. 1985, vol. 68, no. 4, p. 503-519
Abstract The change-of-variance function is defined for estimators of regression coefficients. Both an unstandardized and a standardized form of the change-of-variance sensitivity are introduced, and their relation with the corresponding gross-error-sensitivities is investigated. The problems of optimal robustness lead to the Hampel-Krasker and the Krasker-Welsch estimators. At the same time, also the scale parameter has to be estimated robustly. By means of the change-of-variance sensitivity, optimal robust redescending scale estimators are constructed.
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RONCHETTI, Elvezio, ROUSSEEUW, Peter J. Change-of-variance sensitivities in regression analysis. In: Probability Theory and Related Fields, 1985, vol. 68, n° 4, p. 503-519.

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Deposited on : 2012-10-06

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