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A one-step robust estimator for regression based on the weighted likelihood reweighting scheme

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Author Info
Agostinelli, Claudio
Markatou, Marianthi

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Abstract

We propose a one-step estimator for the vector of regression and error-scale parameters in a linear regression model. The estimator is asymptotically normal and fully efficient. Given appropriate initial values it achieves very low bias and high breakdown point.

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File URL: http://www.sciencedirect.com/science/article/B6V1D-3T0XP84-3/2/6594c2b449b1b5e2111d12fd2a6aaa66
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Publisher Info
Article provided by Elsevier in its journal Statistics & Probability Letters.

Volume (Year): 37 (1998)
Issue (Month): 4 (March)
Pages: 341-350
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Handle: RePEc:eee:stapro:v:37:y:1998:i:4:p:341-350

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Related research
Keywords: Breakdown point Efficiency Influence Robust Weighted likelihood;

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