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Bobust estimation of begression und scale parameters in linear models with asymmetric error distributions
Author:
J. N. Sheahan a
| Affiliation: | a Department of statistics and Applied Probability, Universitv of Alberta, Edmonton, Alberta, Canada |
DOI:
10.1080/02331888808802066
Publication Frequency:
6 issues per year
Subjects:
Mathematical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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(English)
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Abstract
In this paper, we study the linear model where the distribution of the i.i.d, errors has a normal centre with unknown scale and completely arbitrary tails. Consistent and asymptotically normal robust estimators of the regression parameter vector are obtained by:
(i) robust Jkf-estimation. of the regression vector only, and by (il) simultaneous robust /if-estimation of the regression vector and the scale parameter. The methods are compared and optima! estimators are proposed |
| Keywords: Robust estimation; linear models; robust regression; ill-estimation; asymmetric error distributions |
| view references (8) : view citations |
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