Estimates of MM type for the multivariate linear model

dc.creatorKudraszow, Nadia Laura
dc.creatorMaronna, Ricardo Antonio
dc.date2011-05-05
dc.date2019-11-01T15:28:47Z
dc.identifierhttp://sedici.unlp.edu.ar/handle/10915/84656
dc.identifierissn:0047-259X
dc.descriptionWe propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data.
dc.descriptionFacultad de Ciencias Exactas
dc.formatapplication/pdf
dc.format1280-1292
dc.languageen
dc.rightshttp://creativecommons.org/licenses/by/4.0/
dc.rightsCreative Commons Attribution 4.0 International (CC BY 4.0)
dc.subjectMatemática
dc.subjectCiencias Exactas
dc.subjectMM-estimate
dc.subjectMultivariate linear model
dc.subjectRobust methods
dc.subjectMétodos robustos
dc.subjectMM-estimador
dc.subjectModelo linealmultivariado
dc.titleEstimates of MM type for the multivariate linear model
dc.typeArticulo
dc.typeArticulo


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