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A Monte Carlo Study of Two Robust Alternatives of Least Square Regression Estimation / Richard W. Hill, Paul W. Holland.
- Format:
- Book
- Author/Creator:
- Hill, Richard W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w0058.
- NBER working paper series no. w0058
- Language:
- English
- Subjects (All):
- Robust statistics.
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1974.
- Cambridge, Mass. : National Bureau of Economic Research, 1974.
- Summary:
- We give some Monte Carlo results on the performance of two robust alternatives to least squares regression estimation - least absolute residuals and the one-step "sine" estimator. We show how to scale the residuals for the sine estimator to achieve constant efficiency at the Gaussian across various choices of X-matrix and give some results for the contaminated Gaussian distribution.
- Notes:
- Print version record
- September 1974.
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