首页   按字顺浏览 期刊浏览 卷期浏览 Effects of non-normality and mild heteroscedasticity on estimators in regression
Effects of non-normality and mild heteroscedasticity on estimators in regression

 

作者: Jeffrey B. Birch,   Doris A. Binkley,  

 

期刊: Communications in Statistics - Simulation and Computation  (Taylor Available online 1983)
卷期: Volume 12, issue 3  

页码: 331-354

 

ISSN:0361-0918

 

年代: 1983

 

DOI:10.1080/03610918308812322

 

出版商: Marcel Dekker, Inc.

 

关键词: Simple linear regression;M estimator;robustness;Monte Carlo;heteroscedasticity;non-normality;residual analysis

 

数据来源: Taylor

 

摘要:

Several estimators are examined for the simple linear regression model under a controlled, experimental situation with multiple observations at each design point. The model is examined under normal and non-normal error distributions and mild heterogeneity of variances across the chosen design points. We consider the ordinary, generalized, and estimated generalized least squares estimators and several examples of M estimators. The asymptotic properties of the M estimator using the Huber ψ are presented under these conditions for the multiple regression model. A simulation study is also presented which indicates that the M estimator possesses strong robustness properties under the presence of both non-normality and mild heteroscedasticity o£ errors. Finally, the M estimates are compared to the least squares estimates in two examples.

 

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