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Abstract:

The authors propose a new class of robust estimators for the parameters of a regression model in which the distribution of the error terms belongs to a class of exponential families including the log-gamma distribution. These estimates, which are a natural extension of the MM-estimates for ordinary regression, may combine simultaneously high asymptotic efficiency and a high breakdown point. The authors prove the consistency and derive the asymptotic normal distribution of these estimates. A Monte Carlo study allows them to assess the efficiency and robustness of these estimates for finite samples.

Registro:

Documento: Artículo
Título:Robust estimation for linear regression with asymmetric errors
Autor:Bianco, A.M.; Garcia Ben, M.; Yohai, V.J.
Filiación:Instituto de Cálculo, F.C.E.y N., Ciudad Universitaria, Pabellón 2, C1428EHA, Argentina
Palabras clave:Log-gamma regression; M-estimates; Robust estimates
Año:2005
Volumen:33
Número:4
Página de inicio:511
Página de fin:528
DOI: http://dx.doi.org/10.1002/cjs.5550330404
Título revista:Canadian Journal of Statistics
Título revista abreviado:Can. J. Stat.
ISSN:03195724
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03195724_v33_n4_p511_Bianco

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Citas:

---------- APA ----------
Bianco, A.M., Garcia Ben, M. & Yohai, V.J. (2005) . Robust estimation for linear regression with asymmetric errors. Canadian Journal of Statistics, 33(4), 511-528.
http://dx.doi.org/10.1002/cjs.5550330404
---------- CHICAGO ----------
Bianco, A.M., Garcia Ben, M., Yohai, V.J. "Robust estimation for linear regression with asymmetric errors" . Canadian Journal of Statistics 33, no. 4 (2005) : 511-528.
http://dx.doi.org/10.1002/cjs.5550330404
---------- MLA ----------
Bianco, A.M., Garcia Ben, M., Yohai, V.J. "Robust estimation for linear regression with asymmetric errors" . Canadian Journal of Statistics, vol. 33, no. 4, 2005, pp. 511-528.
http://dx.doi.org/10.1002/cjs.5550330404
---------- VANCOUVER ----------
Bianco, A.M., Garcia Ben, M., Yohai, V.J. Robust estimation for linear regression with asymmetric errors. Can. J. Stat. 2005;33(4):511-528.
http://dx.doi.org/10.1002/cjs.5550330404