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Robust regression through robust covariances. (English) Zbl 0639.62023

Summary: This paper discusses the estimation of regression parameters after summarizing the data by a covariance matrix of the concatenated vector of explanatory variables and response variable. A robust estimate of the covariance matrix leads to a robust regression estimator. An M-estimator at the covariance estimation step is studied in the paper, and the resulting regression estimator is compared to a few previously proposed robust regression estimators.

MSC:

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

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