A Comparison of Preliminary Estimators for Robust Regression
作者:
A.C. Harvey,
期刊:
Journal of the American Statistical Association
(Taylor Available online 1977)
卷期:
Volume 72,
issue 360
页码: 910-913
ISSN:0162-1459
年代: 1977
DOI:10.1080/01621459.1977.10479982
出版商: Taylor & Francis Group
关键词: Median;Minimum absolute deviation estimator;Robust regression;Preliminary estimator
数据来源: Taylor
摘要:
The minimum absolute deviation (MAD) estimator may be used as an initial, or preliminary, estimator in a robust regression procedure. Alternative estimators have been developed by Hinich and Talwar (1975) and Andrews (1974). All three estimators are related to the median, and so their respective asymptotic properties can be compared relatively easily, at least in simple models. The conclusion which emerges from such comparisons is that the asymptotic properties of the MAD estimator are, in general, superior to those of the other two estimators. However, certain small-sample properties are also important in assessing the relative merits of the different estimators.
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