Estimates of MM type for the multivariate linear model
- Autores
- Kudraszow, Nadia Laura; Maronna, Ricardo Antonio
- Año de publicación
- 2011
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data.
Facultad de Ciencias Exactas - Materia
-
Matemática
Ciencias Exactas
MM-estimate
Multivariate linear model
Robust methods
Métodos robustos
MM-estimador
Modelo linealmultivariado - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by/4.0/
- Repositorio
.jpg)
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/84656
Ver los metadatos del registro completo
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Estimates of MM type for the multivariate linear modelKudraszow, Nadia LauraMaronna, Ricardo AntonioMatemáticaCiencias ExactasMM-estimateMultivariate linear modelRobust methodsMétodos robustosMM-estimadorModelo linealmultivariadoWe propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data.Facultad de Ciencias Exactas2011-05-05info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf1280-1292http://sedici.unlp.edu.ar/handle/10915/84656enginfo:eu-repo/semantics/altIdentifier/issn/0047-259Xinfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.jmva.2011.04.011info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0/Creative Commons Attribution 4.0 International (CC BY 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:16:06Zoai:sedici.unlp.edu.ar:10915/84656Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:16:06.395SEDICI (UNLP) - Universidad Nacional de La Platafalse |
| dc.title.none.fl_str_mv |
Estimates of MM type for the multivariate linear model |
| title |
Estimates of MM type for the multivariate linear model |
| spellingShingle |
Estimates of MM type for the multivariate linear model Kudraszow, Nadia Laura Matemática Ciencias Exactas MM-estimate Multivariate linear model Robust methods Métodos robustos MM-estimador Modelo linealmultivariado |
| title_short |
Estimates of MM type for the multivariate linear model |
| title_full |
Estimates of MM type for the multivariate linear model |
| title_fullStr |
Estimates of MM type for the multivariate linear model |
| title_full_unstemmed |
Estimates of MM type for the multivariate linear model |
| title_sort |
Estimates of MM type for the multivariate linear model |
| dc.creator.none.fl_str_mv |
Kudraszow, Nadia Laura Maronna, Ricardo Antonio |
| author |
Kudraszow, Nadia Laura |
| author_facet |
Kudraszow, Nadia Laura Maronna, Ricardo Antonio |
| author_role |
author |
| author2 |
Maronna, Ricardo Antonio |
| author2_role |
author |
| dc.subject.none.fl_str_mv |
Matemática Ciencias Exactas MM-estimate Multivariate linear model Robust methods Métodos robustos MM-estimador Modelo linealmultivariado |
| topic |
Matemática Ciencias Exactas MM-estimate Multivariate linear model Robust methods Métodos robustos MM-estimador Modelo linealmultivariado |
| dc.description.none.fl_txt_mv |
We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data. Facultad de Ciencias Exactas |
| description |
We propose a class of robust estimates for multivariate linear models. Based on the approach of MM-estimation (Yohai 1987, [24]), we estimate the regression coefficients and the covariance matrix of the errors simultaneously. These estimates have both a high breakdown point and high asymptotic efficiency under Gaussian errors. We prove consistency and asymptotic normality assuming errors with an elliptical distribution. We describe an iterative algorithm for the numerical calculation of these estimates. The advantages of the proposed estimates over their competitors are demonstrated through both simulated and real data. |
| publishDate |
2011 |
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2011-05-05 |
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info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articulo http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
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article |
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publishedVersion |
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http://sedici.unlp.edu.ar/handle/10915/84656 |
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| dc.language.none.fl_str_mv |
eng |
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eng |
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info:eu-repo/semantics/altIdentifier/issn/0047-259X info:eu-repo/semantics/altIdentifier/doi/10.1016/j.jmva.2011.04.011 |
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openAccess |
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