Scientific article

Change-of-variance sensitivities in regression analysis

Published inProbability theory and related fields, vol. 68, no. 4, p. 503-519
Publication date1985

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.

Affiliation Not a UNIGE publication
Citation (ISO format)
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. doi: 10.1007/BF00535342
ISSN of the journal0178-8051

Technical informations

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