An Adaptive Multiple Regression Procedure Based on M-Estimators
作者:
ThomasF. Moberg,
JohnS. Ramberg,
RonaldH. Randler,
期刊:
Technometrics
(Taylor Available online 1980)
卷期:
Volume 22,
issue 2
页码: 213-224
ISSN:0040-1706
年代: 1980
DOI:10.1080/00401706.1980.10486137
出版商: Taylor & Francis Group
关键词: Linear regression;M-estimator;Adaptive;Robust estimation
数据来源: Taylor
摘要:
Multiple linear regression techniques that are resistant to changes in a small fraction of the data have been proposed and investigated in recent literature. This paper develops a regression procedure based onM-estimators that is adaptive in nature. That is, after a preliminary fit, an attempt is made to assess the nature of the distribution of the errors. Based on this assessment, an appropriateM-estimator is then chosen and the final multiple linear regression equation is computed. The rule's resistance to a few outlying data points is demonstrated with a classical data set on the stack loss of a plant converting ammonia to nitric acid. The adaptive procedure's excellent performance characteristics over a broad class of distributions is shown in a Monte Carlo study.
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