- A Generalized M-Estimator in Linear Regression
- A Generalized M-Estimator in Linear Regression
- ㆍ 저자명
- Song. Moon Sup,Park. Changsoon,Nam. Ho Soo
- ㆍ 간행물명
- 한국통계학회 논문집
- ㆍ 권/호정보
- 1994년|1권 1호|pp.27-32 (6 pages)
- ㆍ 발행정보
- 한국통계학회
- ㆍ 파일정보
- 정기간행물|ENG| PDF텍스트
- ㆍ 주제분야
- 기타
We propose a robust regression estimator which has both a high breakdown point and a bounded influence function. The main contribution of this article is to present a weight function in the generalized M (GM)-estimator. The weighting schemes which control leverage points only without considering residuals cannot be efficient, since control leverage points only without considering residuals cannot be efficient, since these schemes inevitably downweight some good leverage points. In this paper we propose a weight function which depends both on design points and residuals, so as not to downweight good leverage points. Some motivating illustrations are also given.