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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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